On the maximum of randomly weighted sums with regularly varying tails

Yiqing Chen, Kai W. Ng and Xiangsheng Xie

Statistics & Probability Letters, 2006, vol. 76, issue 10, 971-975

Abstract: Consider the randomly weighted sums , n=1,2,..., where {Xk,k=1,2,...} is a sequence of independent real-valued random variables with common distribution F, whose right tail is regularly varying with exponent -[alpha]

Keywords: Asymptotics; Regular; variation; Ruin; probability; Tail; probability (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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