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Asymptotic Tail Probability of Randomly Weighted Sums of Dependent Random Variables with Dominated Variation

Asymptotic Tail Probability of Randomly Weighted Sums of Dependent Random Variables with Dominated Variation
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摘要 This paper investigates the asymptotic behavior of tail probability of randomly weighted sums of dependent and real-valued random variables with dominated variation, where the weights form another sequence of nonnegative random variables. The result we obtain extends the corresponding result of Wang and Tang. This paper investigates the asymptotic behavior of tail probability of randomly weighted sums of dependent and real-valued random variables with dominated variation, where the weights form another sequence of nonnegative random variables. The result we obtain extends the corresponding result of Wang and Tang.
作者 Hai-zhong Yang
机构地区 School of Statistics
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2011年第2期277-280,共4页 应用数学学报（英文版）
基金 Supported by the National Natural Science Foundation of China(Grant No.10802061) the Research Project of Xi'an Institute of Statistics(Grant No.07JD16)
关键词 randomly weighted sums tail probability dominated variation randomly weighted sums, tail probability, dominated variation
分类号 O211.5 [理学—概率论与数理统计] O211.4 [理学—概率论与数理统计]
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参考文献8

  • 1Bingham, N.H.; Goldie, C.M., Teugels, J.L. Regular Variation. Cambridge University Press, Cambridge, 1987.
  • 2Geluk, J., Tang, Q. Asymptotic tail probabilities of sums of dependent subexponential random variables. J. Theoret. Probab., 22(4): 871-882 (2009).
  • 3Goovaerts, M.J., Kaas, R.: Laeven, R:J.A.( Tang, Q., Vernic, It. The tail probability of discounted sums of Pareto-like losses in insurance. Scancl. Actuar. J., (6): 446-461 (2005).
  • 4Tang, Q., Tsitsiashvili, G. Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Stochaztic Process. Appl., 108(2): 299-325 (2003).
  • 5Tang, Q., Tsitsiashvili, G. Randomly weighted sums of subexponential random variables with application to ruin theory. Extremes., 6(3): 171-188 (2003).
  • 6Tang, Q. .5/symptotic ruin probabilities of the renewal model with constant interest force and regular variation. Scand. Actuar. J. (1): 1-5 (2005).
  • 7Wang, D., Tang, Q. Tail probabilities of randomly weighted sums of random variables with dominated variation. Stoch. Models, 22(2): 253-27 (2006).
  • 8Zhang, Y., Shen, X., Weng, "C'. Approximation of the tail probability of randomly weighted sums and applications. Stochastic Process. Appl., 119(2): 655-675 (2009).
Acta Mathematicae Applicatae Sinica
2011年 第2期

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