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A Note on the Tail Behavior of Randomly Weighted Sums with Convolution‐Equivalently Distributed Random Variables

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Listed:
  • Yang Yang
  • Jun-feng Liu
  • Yu-lin Zhang

Abstract

We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution‐equivalent distributions. Our obtained result can be directly applied to a discrete‐time insurance risk model with insurance and financial risks and derive the asymptotics for the finite‐time probability of the above risk model.

Suggested Citation

  • Yang Yang & Jun-feng Liu & Yu-lin Zhang, 2013. "A Note on the Tail Behavior of Randomly Weighted Sums with Convolution‐Equivalently Distributed Random Variables," Abstract and Applied Analysis, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:273217
    DOI: 10.1155/2013/273217
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    References listed on IDEAS

    as
    1. 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.
    2. Enkelejd Hashorva & Anthony G. Pakes & Qihe Tang, 2010. "Asymptotics of Random Contractions," Papers 1008.0126, arXiv.org.
    3. Chen, Yu & Su, Chun, 2006. "Finite time ruin probability with heavy-tailed insurance and financial risks," Statistics & Probability Letters, Elsevier, vol. 76(16), pages 1812-1820, October.
    4. Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami, 2002. "Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 447-460, December.
    5. Hashorva, Enkelejd & Pakes, Anthony G. & Tang, Qihe, 2010. "Asymptotics of random contractions," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 405-414, December.
    Full references (including those not matched with items on IDEAS)

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