Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory

Xin-mei Shen, Zheng-yan Lin and Yi Zhang ()
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Xin-mei Shen: Zhejiang University
Zheng-yan Lin: Zhejiang University
Yi Zhang: Zhejiang University

Methodology and Computing in Applied Probability, 2009, vol. 11, issue 4, 669-685

Abstract: Abstract This paper obtains the uniform estimate for maximum of sums of upper-tail independent and heavy-tailed random variables with nonnegative dependent random weights. Then the applications to ruin probabilities in a discrete time risk model with dependent gross losses and dependent stochastic returns are considered.

Keywords: Uniformly asymptotic estimate; Ruin probability; Consistent variation; Upper-tail independent; 60E20; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s11009-008-9090-6

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