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In this paper we study the closure property and probability tail asymptotics for randomly weighted sums $S_n^\Theta=\Theta_1 X_1 + \dots+\Theta_n X_n$ for long-tailed random variables $X_1,\dots,X_n$ and positive bounded random weights $\Theta_1,\dots,\Theta_n$ under similar dependence structure as in \cite{Yang_Leipus_Siaulys:2014}. In particular, we study the case where the distribution of random vector $(X_1,\dots,X_n)$ is generated by an absolutely continuous copula.
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참고문헌 (25)
참고문헌 신청
A. V. Asimit / 2010 / Extremes on the discounted aggregate claims in a time dependent risk model / Scand. Actuar. J 2010 (2) : 93 ~ 104
F. Kong / 2008 / The finite-time ruin probability for ND claims with constant interest force / Statist. Probab. Lett 78 (17) : 3103 ~ 3109
H. Xu / 2015 / Convolution and convolution-root properties of long-tailed distributions / Extremes 18 (4) : 605 ~ 628
J. Cai / 2004 / On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications / J. Appl. Probab 41 (1) : 117 ~ 130
J. Geluk / 2006 / Tail behavior of negatively associated heavy-tailed sums / J. Appl. Probab 43 (2) : 587 ~ 593
F. Kong / 2008 / The finite-time ruin probability for ND claims with constant interest force / Statist. Probab. Lett 78 (17) : 3103 ~ 3109
H. Xu / 2015 / Convolution and convolution-root properties of long-tailed distributions / Extremes 18 (4) : 605 ~ 628
J. Cai / 2004 / On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications / J. Appl. Probab 41 (1) : 117 ~ 130
J. Geluk / 2006 / Tail behavior of negatively associated heavy-tailed sums / J. Appl. Probab 43 (2) : 587 ~ 593
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