Tail behavior of the sums of dependent and heavy-tailed random variables

被引：8

作者：

Yu, Changjun ^{[1
]}

Wang, Yuebao ^{[2
]}

Cheng, Dongya ^{[2
]}

机构：

[1] Nantong Univ, Sch Sci, Nantong 226019, Peoples R China

[2] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2015年 / 44卷 / 01期

基金：

中国国家自然科学基金; 国家教育部博士点专项基金资助;

关键词：

Dependence structures; Subexponential* distributions; Asymptotic behavior; Partial sums; Random sums; Weighted sums; Ruin probability; SUBEXPONENTIAL RANDOM-VARIABLES; TIME RUIN PROBABILITY; INFINITE-DIVISIBILITY; DISTRIBUTIONS; FINITE; ASYMPTOTICS; MODEL; EQUIVALENCE; CLOSURE;

D O I：

10.1016/j.jkss.2014.04.002

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：

In this paper, we investigate the tail asymptotic behavior of the partial sums, the random sums and the weighted sums of heavy-tailed random variables (r.v.s.) under two new dependence structures, respectively. The increments are real-valued and have subexponential* distributions, and the dependence structures can contain common linearly negatively quadrant dependent r.v.s., some positively dependent r.v.s. and some other r.v.s. The obtained results are used to derive the asymptotic estimation of the finite-time ruin probability for a nonstandard renewal risk model. In addition, some mutual relations among these two new dependence structures and some other relevant ones are discussed. (C) 2014 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.

引用

页码：12 / 27

页数：16

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