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
Asymptotical properties of distributions of isotropic Lévy processes
Sign Up to like & getrecommendations! Published in 2018 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2017.09.017
Abstract: In this paper, we establish the precise asymptotics of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2.… read more here.
Keywords: psi; psi psi; asymptotical properties; distributions isotropic ... See more keywords