On the behavior of the product of independent random variables

DOI10.1007/s11425-006-0342-zzbMath1106.60018OpenAlexW1550502786MaRDI QIDQ862681

Chun Su, Yu Chen

Publication date: 24 January 2007

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-006-0342-z

zbMATH Keywords

stabilityheavy-tailedindependent producttails of a distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (10)

Subexponentiality of the product of dependent random variables ⋮ Heavy-tailed phase-type distributions: a unified approach ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Revisiting the product of random variables ⋮ Approximation of ruin probabilities via Erlangized scale mixtures ⋮ Finite time ruin probability with heavy-tailed insurance and financial risks ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ From light tails to heavy tails through multiplier ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

Cites Work

• Subexponentiality of the product of independent random variables
• Some discussions on the class \({\mathcal L} (\gamma)\)
• Characterizations on heavy-tailed distributions by means of hazard rate.
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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