Tail asymptotics of random sum and maximum of log-normal risks

Enkelejd Hashorva and Dominik Kortschak

Statistics & Probability Letters, 2014, vol. 87, issue C, 167-174

Abstract: In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandayapa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.

Keywords: Risk aggregation; Log-normal risks; Exact asymptotics; Gaussian distribution; Product of random variables (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715214000297
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:87:y:2014:i:c:p:167-174

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2014.01.018

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().