The tail probability of the product of dependent random variables from max-domains of attraction

DOI10.1016/j.spl.2011.06.018zbMath1227.60018OpenAlexW2027041014MaRDI QIDQ645443

Tao Wu, Yingying Yang, Shuhe Hu

Publication date: 15 November 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.06.018

zbMATH Keywords

tail probabilityproductmax-domain of attractionBreiman's theoremFarlie-Gumbel-Morgenstern

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

Related Items (7)

Gini estimation under infinite variance ⋮ Tail asymptotic of Weibull-type risks ⋮ Infinite-time absolute ruin in dependent renewal risk models with constant force of interest ⋮ Extremes and products of multivariate AC-product risks ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure

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