The tail probability of the product of dependent random variables from max-domains of attraction
type: Item
instance of: scholarly article
title: The tail probability of the product of dependent random variables from max-domains of attraction
zbMATH Open document ID: 1227.60018
author: Yingying Yang
author: Shuhe Hu
author: Tao Wu
published in: Statistics \& Probability Letters
publication date: 2011-11-15T00:00:00Z
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 5971809
zbMATH Keywords: Breiman's theorem
zbMATH Keywords: Farlie-Gumbel-Morgenstern
zbMATH Keywords: max-domain of attraction
zbMATH Keywords: product
zbMATH Keywords: tail probability
MaRDI profile type: Publication
full work available at URL: j.spl.2011.06.018
OpenAlex ID: W2027041014
cites work: Q5525727
cites work: Subexponentiality of the product of independent random variables
cites work: On a Theorem of Breiman and a Class of Random Difference Equations
cites work: Q3860550
cites work: Q4343010
cites work: Sur la distribution limite du terme maximum d'une série aléatoire
cites work: Tail asymptotics under beta random scaling
cites work: Asymptotics of random contractions
cites work: The product of two dependent random variables with regularly varying or rapidly varying tails
cites work: Q4493303
cites work: THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS
cites work: Asymptotic independence and a network traffic model
cites work: Q5706744
cites work: On the ruin probabilities in a general economic environment
cites work: Finite and infinite time ruin probabilities in a stochastic economic environment.
cites work: On convolution equivalence with applications
cites work: The subexponentiality of products revisited
cites work: From light tails to heavy tails through multiplier
cites work: Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
cites work: Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
DOI: 10.1016/J.SPL.2011.06.018
description: scientific article; zbMATH DE number 5971809