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, issue 1

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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https://doi.org/10.1155/2013/273217

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:273217

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