Asymptotic Tail Probability of Randomly Weighted Sum of Dependent Heavy-Tailed Random Variables
2010
This paper investigates the asymptotic behavior of tail probability of a randomly weighted sum of real-valued heavy-tailed dependent random variables; the weights form another sequence random variable. Under some other mild conditions, the asymptotic relations obtained are further applied to derive asymptotic estimate for ruin probabilities in a discrete time risk model.
Keywords:
- Sum of normally distributed random variables
- Multivariate random variable
- Illustration of the central limit theorem
- Law of total probability
- Algebra of random variables
- Statistics
- Probability mass function
- Mathematics
- Moment-generating function
- Marginal distribution
- Applied mathematics
- Actuarial science
- Convergence of random variables
- Combinatorics
- Random element
- Asymptotic analysis
- Correction
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