A Note on Randomly Weighted Sums of Dependent Subexponential Random Variables

被引：0
|
作者：
Fengyang CHENG [1 ]
机构：
[1] School of Mathematical Sciences, Soochow University
来源：
Chinese Annals of Mathematics,Series B | 2020年 / 03期
基金：
中国国家自然科学基金;
关键词：
Randomly weighted sums; Subexponential distributions; Ruin probabilities; Insurance and financial risks;
D O I：
暂无
中图分类号：
O211.5 [随机变量];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The author obtains that the asymptotic relations ■ hold as x→∞, where the random weights θ,···, θare bounded away both from 0 and from∞with no dependency assumptions, independent of the primary random variables X,···, Xwhich have a certain kind of dependence structure and follow non-identically subexponential distributions. In particular, the asymptotic relations remain true when X,···, Xjointly follow a pairwise Sarmanov distribution.
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页码：441 / 450
页数：10
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