Closure property and maximum of randomly weighted sums with heavy-tailed increments
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DOI: 10.1016/j.spl.2014.04.020
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- Ng, K.W. & Tang, Q.H. & Yang, H., 2002. "Maxima of Sums of Heavy-Tailed Random Variables," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 43-55, May.
- Yang, Yang & Leipus, Remigijus & Šiaulys, Jonas, 2012. "Tail probability of randomly weighted sums of subexponential random variables under a dependence structure," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1727-1736.
- 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.
- Sgibnev, M. S., 1996. "On the distribution of the maxima of partial sums," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 235-238, July.
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- Gustas Mikutavičius & Jonas Šiaulys, 2023. "Product Convolution of Generalized Subexponential Distributions," Mathematics, MDPI, vol. 11(1), pages 1-11, January.
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Keywords
Randomly weighted sum; Long tail; Dominatedly varying tail; Dependence;All these keywords.
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