A Note on the Tail Behavior of Randomly Weighted Sums with Convolution-Equivalently Distributed Random Variables

Yang Yang, Jun-feng Liu and Yu-lin Zhang

Abstract and Applied Analysis, 2013, vol. 2013, 1-4

Abstract:

We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution-equivalent distributions. Our obtained result can be directly applied to a discrete-time insurance risk model with insurance and financial risks and derive the asymptotics for the finite-time probability of the above risk model.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:273217

DOI: 10.1155/2013/273217

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