A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables

A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables

This paper investigates the asymptotic behavior for the tail probability of the randomly weighted sums Pn k=1 θkXk and their maximum, where the random variables Xk and the random weights θk follow a certain dependence structure proposed by Asimit and Badescu [1] and Li et al. [2]. The obtained resu...

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Bibliographic Details
Main Authors: Yang Yang, Kaiyong Wang, Remigijus Leipus, Jonas Šiaulys
Format: Article
Language:English
Published: Vilnius University Press 2013-10-01
Series:Nonlinear Analysis
Subjects:
long-tailed distribution
randomly weighted sum
max-sum equivalence
Online Access:http://www.journals.vu.lt/nonlinear-analysis/article/view/13976
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spelling doaj-c410d91b5a26405e97653cbe537640e42020-11-24T21:56:54ZengVilnius University PressNonlinear Analysis1392-51132335-89632013-10-01184A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variablesYang Yang0Kaiyong Wang1Remigijus Leipus2Jonas Šiaulys3Southeast University, ChinaSoutheast University, ChinaVilnius University, LithuaniaVilnius University, Lithuania This paper investigates the asymptotic behavior for the tail probability of the randomly weighted sums Pn k=1 θkXk and their maximum, where the random variables Xk and the random weights θk follow a certain dependence structure proposed by Asimit and Badescu [1] and Li et al. [2]. The obtained results can be used to obtain asymptotic formulas for ruin probability in the insurance risk models with discounted factors. http://www.journals.vu.lt/nonlinear-analysis/article/view/13976long-tailed distributionrandomly weighted summax-sum equivalence
collection DOAJ
language English
format Article
sources DOAJ
author Yang Yang
Kaiyong Wang
Remigijus Leipus
Jonas Šiaulys
spellingShingle Yang Yang
Kaiyong Wang
Remigijus Leipus
Jonas Šiaulys
A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
Nonlinear Analysis
long-tailed distribution
randomly weighted sum
max-sum equivalence
author_facet Yang Yang
Kaiyong Wang
Remigijus Leipus
Jonas Šiaulys
author_sort Yang Yang
title A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
title_short A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
title_full A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
title_fullStr A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
title_full_unstemmed A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
title_sort note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables
publisher Vilnius University Press
series Nonlinear Analysis
issn 1392-5113
2335-8963
publishDate 2013-10-01
description This paper investigates the asymptotic behavior for the tail probability of the randomly weighted sums Pn k=1 θkXk and their maximum, where the random variables Xk and the random weights θk follow a certain dependence structure proposed by Asimit and Badescu [1] and Li et al. [2]. The obtained results can be used to obtain asymptotic formulas for ruin probability in the insurance risk models with discounted factors.
topic long-tailed distribution
randomly weighted sum
max-sum equivalence
url http://www.journals.vu.lt/nonlinear-analysis/article/view/13976
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