Maxima of Sums of Heavy-tailed Random Variables

In this paper, we investigate asymptotic properties of the tail probabilities of the maxima of partial sums of independent random variables. For some large classes of heavy-tailed distributions, we show that the tail probabilities of the maxima of the partial sums asymptotically equal to the sum of the tail probabilities of the individual random variables...

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Year of publication:	2002-05-01
Authors:	Ng, K.W ; Tang, Q.H. ; Yang. H.
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Subject:	Risikotheorie

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Extent:	560128 bytes 13 p. application/pdf
Series:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 32 - No. 1 - 2002, 43-55
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847067