Maxima of sums and random sums for negatively associated random variables with heavy tails
AbstractThis paper obtains some asymptotics for the tail probabilities of the maximum of sums and random sums of negatively associated (NA) random variables with heavy tails, showing that the NA dependence structure does not affect the asymptotic behavior of these tail probabilities.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
- Liu, Li, 2009. "Precise large deviations for dependent random variables with heavy tails," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1290-1298, May.
- Alessio Sancetta, 2009. "Strong law of large numbers for pairwise positive quadrant dependent random variables," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 55-64, February.
- Liu, Yan, 2007. "Precise large deviations for negatively associated random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 181-189, January.
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