CLOSURE PROPERTY AND TAIL PROBABILITY ASYMPTOTICS FOR RANDOMLY WEIGHTED SUMS OF DEPENDENT RANDOM VARIABLES WITH HEAVY TAILS

被引：2

作者：

Dindiene, Lina ^{[1
]}

Leipus, Remigijus ^{[1
,2
]}

Siaulys, Jonas ^{[1
]}

机构：

[1] Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania

[2] Vilnius Univ, Inst Math & Informat, Akademijos 4, LT-08663 Vilnius, Lithuania

来源：

JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY | 2017年 / 54卷 / 06期

关键词：

randomly weighted sum; long-tail distribution; copula; FGM copula; SUBEXPONENTIAL RANDOM-VARIABLES; INDEPENDENT RANDOM-VARIABLES; CONSTANT INTEREST FORCE; RUIN PROBABILITIES; RISK MODEL; DISTRIBUTIONS; CONVOLUTION; CLAIMS; INSURANCE; MAXIMUM;

D O I：

10.4134/JKMS.j160753

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we study the closure property and probability tail asymptotics for randomly weighted sums S-n(Theta) = Theta X-1(1)+ ... + Theta X-n(n) for long-tailed random variables X-1, ... ,X-n and positive bounded random weights Theta(1), ... ,Theta(n) under similar dependence structure as in [26]. In particular, we study the case where the distribution of random vector (X-1, ... ,X-n) is generated by an absolutely continuous copula.

引用

页码：1879 / 1903

页数：25

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