Tail asymptotics of random sum and maximum of log-normal risks

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandayapa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.

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Year of publication:	2014
Authors:	Hashorva, Enkelejd ; Kortschak, Dominik
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 167-174
Publisher:	Elsevier
Subject:	Risk aggregation \| Log-normal risks \| Exact asymptotics \| Gaussian distribution \| Product of random variables

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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