Randomly Weighted Sums of Negatively Associated Random Variables with Heavy Tails

Jiangyan Peng

doi:10.1109/cise.2009.5363193

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Randomly Weighted Sums of Negatively Associated Random Variables with Heavy Tails

Jiangyan Peng

Year: 2009 Vol: 4 Pages: 1-4

DOI: 10.1109/cise.2009.5363193

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Abstract

This paper investigates the asymptotic behavior of tail probabilities of randomly weighted sums of negatively associated (NA) heavy-tailed random variables with nonnegative dependent random weights. Then the applications to ruin probabilities in a discrete time risk model with dependent net losses and dependent stochastic returns are considered.

Keywords:

Mathematics Random variable Statistics Applied mathematics Combinatorics

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Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Insurance and Financial Risk Management

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Randomly Weighted Sums of Negatively Associated Random Variables with Heavy Tails

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