Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables
This paper investigates the asymptotic behavior of tail probability of a randomly weighted sum of real-valued heavy-tailed dependent random variables; the weights form another sequence random variable. Under some other mild conditions, the asymptotic relations obtained are further applied to derive asymptotic estimate for ruin probabilities in a discrete time risk model.
Year of publication: |
2010
|
---|---|
Authors: | Yu, Chen ; Weiping, Zhang ; Jie, Liu |
Published in: |
Asia-Pacific Journal of Risk and Insurance. - De Gruyter. - Vol. 4.2010, 2, p. 1-11
|
Publisher: |
De Gruyter |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Zhang, Weiping, (2019)
-
Semiparametric mean-covariance regression analysis for longitudinal data
Leng, Chenlei, (2010)
-
COVID-19 vaccinations and risk spillovers : evidence from Asia-Pacific stock markets
Li, Yanshuang, (2023)
- More ...