Randomly weighted sums of dependent subexponential random variables with applications to risk theory
Author:
Affiliation:
1. School of Mathematical Sciences, Soochow University, Suzhou, China.
2. The Statistics and Operations Research Department, University of North Carolina at Chapel Hill, Chapel Hill, NC, USA.
Funder
Natural Science Foundation of the Higher Education Institutions of Jiangsu Province, China
Postdoctoral Research Program of Jiangsu Province of China
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2017.1329160
Reference22 articles.
1. Ruin Probabilities
2. Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
3. The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
4. Randomly weighted sums of dependent random variables with dominated variation
5. Some properties of the exponential distribution class with applications to risk theory
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