Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
Sign Up to like & getrecommendations! Published in 2020 at "Journal of The Korean Statistical Society"
DOI: 10.1007/s42952-019-00031-x
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… read more here.
Keywords: application; weighted sums; ruin; dominated varying ... See more keywords