Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables

Chen Yu, Zhang Weiping and Liu Jie
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Chen Yu: The University of Science and Technology of China
Zhang Weiping: The University of Science and Technology of China
Liu Jie: The University of Science and Technology of China

Asia-Pacific Journal of Risk and Insurance, 2010, vol. 4, issue 2, 11

Abstract: This paper investigates the asymptotic behavior of tail probability of a randomly weighted sum of real-valued heavy-tailed dependent random variables; the weights form another sequence random variable. Under some other mild conditions, the asymptotic relations obtained are further applied to derive asymptotic estimate for ruin probabilities in a discrete time risk model.

Keywords: asymptotic; randomly weighted sum; long tail (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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DOI: 10.2202/2153-3792.1055

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