Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

Bingzhen Geng; Ronglin Ji; Shijie Wang

doi:10.1016/j.jmaa.2019.123389

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Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

Bingzhen Geng Ronglin Ji Shijie Wang

Year: 2019 Journal: Journal of Mathematical Analysis and Applications Vol: 480 (1)Pages: 123389-123389 Publisher: Elsevier BV

DOI: 10.1016/j.jmaa.2019.123389

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Keywords:

Mathematics Random variable Algebra of random variables Bounded function Combinatorics Discrete mathematics Sum of normally distributed random variables Random element Multivariate random variable Statistics Applied mathematics Mathematical analysis

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Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Statistical Distribution Estimation and Applications

Physical Sciences → Mathematics → Statistics and Probability

Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

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