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Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation

Author

Listed:
  • Shijie Wang
  • Yiyu Hu
  • LianQiang Yang
  • Wensheng Wang

Abstract

Let Xk, 1 ⩽ k ⩽ n, be n real-valued random variables, and θk, 1 ⩽ k ⩽ n, be another n non negative not-degenerate at zero random variables. Assume that random pairs (X1, θ1), …, (Xn, θn) are mutually independent, while each pair (Xk, θk) follows a wide type of dependence structure. Consider the randomly weighted sum Sθn = ∑k = 1nθkXk. In this paper, the tail asymptotics for Sθn in the case where Xk, 1 ⩽ k ⩽ n, belong to some heavy-tailed subclasses are firstly investigated. Then, as an application, we consider the tail behavior of the conditional tail expectation E(Snθ|Snθ>xq)$\mathbb {E}(S_n^\theta |S_n^\theta >x_q)$ as q↑1, where xq=VaRq(Snθ)=inf{y∈R:P(Snθ≤y)≥q}$x_q=\mbox{VaR}_q(S_n^\theta )=\inf \lbrace y\in \mathbb {R}: \mathbb {P}(S_n^\theta \le y)\ge q\rbrace$. Under some technical conditions, the asymptotic estimate for the right tail of conditional tail expectation is also derived. The obtained results extend some existing ones in the literature.

Suggested Citation

  • Shijie Wang & Yiyu Hu & LianQiang Yang & Wensheng Wang, 2018. "Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(20), pages 5054-5063, October.
  • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:20:p:5054-5063
    DOI: 10.1080/03610926.2017.1386309
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    Citations

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    Cited by:

    1. Mantas Dirma & Saulius Paukštys & Jonas Šiaulys, 2021. "Tails of the Moments for Sums with Dominatedly Varying Random Summands," Mathematics, MDPI, vol. 9(8), pages 1-26, April.
    2. Gustas Mikutavičius & Jonas Šiaulys, 2023. "Product Convolution of Generalized Subexponential Distributions," Mathematics, MDPI, vol. 11(1), pages 1-11, January.
    3. Leipus, Remigijus & Paukštys, Saulius & Šiaulys, Jonas, 2021. "Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck–Goovaerts risk measure," Statistics & Probability Letters, Elsevier, vol. 170(C).

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