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In this paper, we obtain the weakly asymptotic formulas of the tail probabilities of randomly weighted sums and their maximum of dominated varying-tailed random variables under a general conditional dependence… Click to show full abstract
In this paper, we obtain the weakly asymptotic formulas of the tail probabilities of randomly weighted sums and their maximum of dominated varying-tailed random variables under a general conditional dependence structure, where the corresponding random weights can take values in the whole real space. The obtained results extend and improve some existing ones. An application of the weakly asymptotic formulas is proposed to estimate the ruin probability in a discrete-time risk model.
Keywords:
application;
weighted sums;
ruin;
dominated varying;
randomly weighted;
varying tailed
Journal Title: Journal of The Korean Statistical Society
Year Published: 2020
Link to full text (if available)
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Journal Title: Journal of The Korean Statistical Society
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!