Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on (-∞,∞), and let T be a nonnegative integer-valued random variable independent of the sequence {X...Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on (-∞,∞), and let T be a nonnegative integer-valued random variable independent of the sequence {Xk, k 〉 1}. In this framework, the asymptotic behavior of the tail probabilities of the quantities Sn = fi Xk and S(n) =∑ k=1 n 〉 1, and their randomized versions ST and S(τ) are studied. Some risk theory are presented. max Sk for 1〈k〈n applications to the展开更多
基金supported by the National Natural Science Foundation of China (No. 11171179)the Research Fund for the Doctoral Program of Higher Education of China (No. 20093705110002)
文摘Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on (-∞,∞), and let T be a nonnegative integer-valued random variable independent of the sequence {Xk, k 〉 1}. In this framework, the asymptotic behavior of the tail probabilities of the quantities Sn = fi Xk and S(n) =∑ k=1 n 〉 1, and their randomized versions ST and S(τ) are studied. Some risk theory are presented. max Sk for 1〈k〈n applications to the