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Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima

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  • Jianxi Lin

Abstract

In this paper the second order asymptotics of the tail probabilities of randomly weighted sums and their maxima are established in the case that the underlying primary random variables are subexponential. No any assumption is made on the dependence structure between the random weights, but we assume these weights are bounded away from zero and infinity.

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  • Jianxi Lin, 2020. "Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(11), pages 2648-2670, June.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:11:p:2648-2670
    DOI: 10.1080/03610926.2019.1576900
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    Cited by:

    1. Thomas Hitchen & Saralees Nadarajah, 2024. "Exact Results for the Distribution of Randomly Weighted Sums," Mathematics, MDPI, vol. 12(1), pages 1-22, January.

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