相关重尾随机变量随机加权和的渐近尾概率

Yu Chen, Weiping Zhang, Jie Liu
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引用次数: 8

摘要

研究了实值重尾相关随机变量随机加权和尾部概率的渐近性质;权重形成另一个序列随机变量。在其他一些较温和的条件下,进一步应用所得到的渐近关系,导出了离散时间风险模型破产概率的渐近估计。
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Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables
This paper investigates the asymptotic behavior of tail probability of a randomly weighted sum of real-valued heavy-tailed dependent random variables; the weights form another sequence random variable. Under some other mild conditions, the asymptotic relations obtained are further applied to derive asymptotic estimate for ruin probabilities in a discrete time risk model.
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