On the joint tail behavior of randomly weighted sums of dependent random variables with applications to risk theory

Zhangting Chen, Dongya Cheng and Haoer Zheng

Scandinavian Actuarial Journal, 2025, vol. 2025, issue 10, 989-1008

Abstract: This paper investigates the joint tail behavior of infinite sums of random variables with random weights (infinite sums, for short) and random sums of random variables with random weights (random sums, for short), where the primary random variables are non-negative, heavy-tailed, and dependent. Under some appropriate conditions on non-negative random weights and the framework of a newly proposed dependence structure, we obtain some asymptotic formulas for the joint tail behavior of infinite sums and random sums. The obtained results are applied to derive an asymptotic formula, which unifies both finite-time and infinite-time cases of the ruin probability in a bi-dimensional risk model.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2025.2490120 (text/html)
Access to full text is restricted to subscribers.

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:taf:sactxx:v:2025:y:2025:i:10:p:989-1008

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.2025.2490120

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().