This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or more specifically, subexponential random variables. A key application of this approximation is the calculation of operational VaR (value at risk) for financial institutions, to determine...

There has been much work on the approximation of independent or dependent random variables. But we are not aware of any work giving exact results for the approximation of the sum of randomly weighted random variables. In this paper, we derive results for the randomly weighted sum of dependent...