JOURNAL ARTICLE

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

Yu ChenWeiping ZhangJie Liu

Year: 2010 Journal:   Asia-Pacific Journal of Risk and Insurance Vol: 4 (2)   Publisher: De Gruyter

Abstract

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.

Keywords:
Mathematics Random variable Sequence (biology) Risk model Statistics Applied mathematics Heavy-tailed distribution Statistical physics Combinatorics Physics

Metrics

8
Cited By
1.13
FWCI (Field Weighted Citation Impact)
0
Refs
0.81
Citation Normalized Percentile
Is in top 1%
Is in top 10%

Citation History

Topics

Probability and Risk Models
Social Sciences →  Decision Sciences →  Management Science and Operations Research
Risk and Portfolio Optimization
Social Sciences →  Decision Sciences →  Management Science and Operations Research
Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance

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