IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v82y2012i9p1727-1736.html
   My bibliography  Save this article

Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

Author

Listed:
  • Yang, Yang
  • Leipus, Remigijus
  • Šiaulys, Jonas

Abstract

This paper deals with the asymptotic behavior for the tail probability of randomly weighted sums of subexponential random variables under a dependence structure, where the random weights and the corresponding summands are dependent.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1727-1736
    DOI: 10.1016/j.spl.2012.05.016
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212001915
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2012.05.016?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jiang, Jun & Tang, Qihe, 2011. "The product of two dependent random variables with regularly varying or rapidly varying tails," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 957-961, August.
    2. 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.
    3. Cline, D. B. H. & Samorodnitsky, G., 1994. "Subexponentiality of the product of independent random variables," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 75-98, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Jinzhu, 2016. "Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 195-204.
    2. Yang, Yang & Leipus, Remigijus & Šiaulys, Jonas, 2014. "Closure property and maximum of randomly weighted sums with heavy-tailed increments," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 162-170.
    3. Franck Adékambi & Kokou Essiomle, 2021. "Asymptotic Tail Probability of the Discounted Aggregate Claims under Homogeneous, Non-Homogeneous and Mixed Poisson Risk Model," Risks, MDPI, vol. 9(7), pages 1-22, June.
    4. Eckert, Johanna & Gatzert, Nadine, 2018. "Risk- and value-based management for non-life insurers under solvency constraints," European Journal of Operational Research, Elsevier, vol. 266(2), pages 761-774.
    5. Li, Jinzhu, 2013. "On pairwise quasi-asymptotically independent random variables and their applications," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2081-2087.
    6. Roozegar, Rasool & Soltani, A.R., 2015. "On the asymptotic behavior of randomly weighted averages," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 269-272.
    7. Chen, Yiqing, 2020. "A Kesten-type bound for sums of randomly weighted subexponential random variables," Statistics & Probability Letters, Elsevier, vol. 158(C).
    8. Zhangting Chen & Dongya Cheng, 2024. "On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-27, December.
    9. Yang, Yang & Ignatavičiūtė, Eglė & Šiaulys, Jonas, 2015. "Conditional tail expectation of randomly weighted sums with heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 20-28.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yang, Haizhong & Sun, Suting, 2013. "Subexponentiality of the product of dependent random variables," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2039-2044.
    2. 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.
    3. Chen, Yiqing, 2017. "Interplay of subexponential and dependent insurance and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 78-83.
    4. Chen, Yiqing & Liu, Jiajun & Liu, Fei, 2015. "Ruin with insurance and financial risks following the least risky FGM dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 98-106.
    5. Serguei Foss & Andrew Richards, 2010. "On Sums of Conditionally Independent Subexponential Random Variables," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 102-119, February.
    6. Xin-mei Shen & Zheng-yan Lin & Yi Zhang, 2009. "Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 669-685, December.
    7. Kaas, Rob & Tang, Qihe, 2005. "A large deviation result for aggregate claims with dependent claim occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 251-259, June.
    8. Zhang, Yi & Shen, Xinmei & Weng, Chengguo, 2009. "Approximation of the tail probability of randomly weighted sums and applications," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 655-675, February.
    9. Yang, Yang & Ignatavičiūtė, Eglė & Šiaulys, Jonas, 2015. "Conditional tail expectation of randomly weighted sums with heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 20-28.
    10. Jiang, Tao & Wang, Yuebao & Chen, Yang & Xu, Hui, 2015. "Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 45-53.
    11. Jing Liu & Huan Zhang, 2017. "Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments," Risks, MDPI, vol. 5(2), pages 1-11, May.
    12. Qu, Zhihui & Chen, Yu, 2013. "Approximations of the tail probability of the product of dependent extremal random variables and applications," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 169-178.
    13. Saulius Paukštys & Jonas Šiaulys & Remigijus Leipus, 2023. "Truncated Moments for Heavy-Tailed and Related Distribution Classes," Mathematics, MDPI, vol. 11(9), pages 1-15, May.
    14. Li, Jinzhu, 2013. "On pairwise quasi-asymptotically independent random variables and their applications," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2081-2087.
    15. Yang, Yang & Hashorva, Enkelejd, 2013. "Extremes and products of multivariate AC-product risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 312-319.
    16. Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2014. "Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 80-87.
    17. Dan Zhu & Ming Zhou & Chuancun Yin, 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions," Mathematics, MDPI, vol. 11(12), pages 1-18, June.
    18. Liu, Yan, 2007. "Precise large deviations for negatively associated random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 181-189, January.
    19. Yiqing Chen & Kam C. Yuen & Kai W. Ng, 2011. "Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 821-833, December.
    20. Gao, Qingwu & Liu, Xijun, 2013. "Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1527-1538.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1727-1736. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.