Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables

This paper investigates the asymptotic behavior of tail probability of a randomly weighted sum of real-valued heavy-tailed dependent random variables; the weights form another sequence random variable. Under some other mild conditions, the asymptotic relations obtained are further applied to derive asymptotic estimate for ruin probabilities in a discrete time risk model.

MoreLess

Year of publication:	2010
Authors:	Chen, Yu ; Zhang, Weiping ; Liu, Jie
Published in:	Asia-Pacific Journal of Risk and Insurance. - De Gruyter, ISSN 2153-3792, ZDB-ID 2541118-4. - Vol. 4.2010, 2
Publisher:	De Gruyter
Subject:	asymptotic \| randomly weighted sum \| long tail

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/2153-3792.1055 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014585472