Tail probabilities of randomly weighted sums of random variables with dominated variation

被引：73
|
作者：
Wang, DC [1 ]
Tang, QH
机构：
[1] Univ Elect Sci & Technol China, Sch Appl Math, Chengdu 610054, Peoples R China
[2] Univ Elect Sci & Technol China, Sch Management, Chengdu 610054, Peoples R China
[3] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52240 USA
来源：
STOCHASTIC MODELS | 2006年 / 22卷 / 02期
基金：
中国博士后科学基金;
关键词：
heavy tail; maximum of sums; randomly weighted sums; ruin probability; stochastic return; tail probability;
D O I：
10.1080/15326340600649029
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper investigates the asymptotic behavior of tail probabilities of randomly weighted sums of independent heavy-tailed random variables, where the weights form another sequence of nonnegative and arbitrarily dependent random variables. The results obtained are further applied to derive asymptotic estimates for the ruin probabilities in a discrete time risk model with dependent stochastic returns.
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页码：253 / 272
页数：20
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