On pairwise quasi-asymptotically independent random variables and their applications

Jinzhu Li

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2081-2087

Abstract: In this paper we obtain some novel results regarding pairwise (strong) quasi-asymptotically independent random variables with dominatedly varying tails. Our main concern lies in the asymptotics for constant and randomly weighted sums of such random variables. The obtained results are applied to study the ultimate ruin probability of a claim-dependent risk model.

Keywords: Asymptotics; Dominated variation; Quasi-asymptotic independence; By-claims; Ruin probability (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:9:p:2081-2087

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DOI: 10.1016/j.spl.2013.05.023

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