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.
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页码：1879 / 1903
页数：25
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