Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation

被引：63

作者：

Yi, Lan ^{[1
]}

Chen, Yu ^{[1
]}

Su, Chun ^{[1
]}

机构：

[1] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2011年 / 376卷 / 01期

关键词：

Asymptotic; Randomly weighted sum; Dominatedly-varying tail; Tail probability; Quasi-asymptotic independence; TIME RUIN PROBABILITIES; FINITE-TIME; INSURANCE; RETURNS; MAXIMUM; MODEL;

D O I：

10.1016/j.jmaa.2010.10.020

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper deals with the approximation of the tail probability of randomly weighted sums of a sequence of pairwise quasi-asymptotically independent but non-identically distributed dominatedly-varying-tailed random variables. The weights are independent of the former sequence, satisfying some assumptions about the moments. But no requirements on the dependence structure of the weights are imposed. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：365 / 372

页数：8

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[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2011, 27 (02): : 277 - 280
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