Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
This paper deals with the asymptotic behavior for the tail probability of randomly weighted sums of subexponential random variables under a dependence structure, where the random weights and the corresponding summands are dependent.
Volume (Year): 82 (2012)
Issue (Month): 9 ()
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References listed on IDEAS
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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.
- Jiang, Jun & Tang, Qihe, 2011. "The product of two dependent random variables with regularly varying or rapidly varying tails," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 957-961, August.
- Cline, D. B. H. & Samorodnitsky, G., 1994. "Subexponentiality of the product of independent random variables," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 75-98, January.
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