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.

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Year of publication:	2010
Authors:	Yu, Chen ; Weiping, Zhang ; Jie, Liu
Published in:	Asia-Pacific Journal of Risk and Insurance. - De Gruyter. - Vol. 4.2010, 2, p. 1-11
Publisher:	De Gruyter

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008838127