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 resul...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2013-10-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.journals.vu.lt/nonlinear-analysis/article/view/13976 |
| Summary: | 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. |
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| ISSN: | 1392-5113 2335-8963 |