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
Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2019.123389
Abstract: Abstract Following the work of Cheng and Cheng (2018) [6] , we reexamine the tail probability of randomly weighted sums of dependent subexponential random variables. Precisely speaking, let { X n , n ≥ 1… read more here.
Keywords: tail probability; randomly weighted; random variables; random ... See more keywords
Randomly weighted sums of dependent subexponential random variables with applications to risk theory
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DOI: 10.1080/03461238.2017.1329160
Abstract: Abstract For any fixed integer , let be real-valued random variables with a common subexponential distribution, and let be positive random variables which are bounded above and independent of . Under some rather loose conditional… read more here.
Keywords: random variables; sums dependent; weighted sums; dependent subexponential ... See more keywords
Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure
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DOI: 10.1080/03610926.2016.1248785
Abstract: ABSTRACT Consider the randomly weighted sums Sm(θ) = ∑mi = 1θiXi, 1 ⩽ m ⩽ n, and their maxima Mn(θ) = max 1 ⩽ m ⩽ nSm(θ), where Xi, 1 ⩽ i ⩽ n, are real-valued… read more here.
Keywords: dependence structure; weighted sums; randomly weighted; sums maxima ... See more keywords