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The tail probability of the product of dependent random variables from max-domains of attraction

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  • Yang, Yingying
  • Hu, Shuhe
  • Wu, Tao

Abstract

In this article, we investigate the tail probability of the product of finitely many non-negative dependent random variables. They follow distributions from max-domains of attraction of extreme value distributions and their dependence is modeled via a multivariate Farlie–Gumbel–Morgenstern distribution. For each of the Fréchet, Gumbel and Weibull cases, we obtain an explicit asymptotic formula for the tail probability of the product. Our study extends a few known results in the literature.

Suggested Citation

  • Yang, Yingying & Hu, Shuhe & Wu, Tao, 2011. "The tail probability of the product of dependent random variables from max-domains of attraction," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1876-1882.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:12:p:1876-1882
    DOI: 10.1016/j.spl.2011.06.018
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    References listed on IDEAS

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    5. 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.
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    Cited by:

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