Maxima of sums and random sums for negatively associated random variables with heavy tails
This 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.
Volume (Year): 68 (2004)
Issue (Month): 3 (July)
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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.
- Ng, K.W. & Tang, Q.H. & Yang, H., 2002. "Maxima of Sums of Heavy-Tailed Random Variables," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 32(01), pages 43-55, May.
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