Approximation of the tail probability of randomly weighted sums and applications

No abstract is available for this paper.

• Publication year

  2009

• Venue

  Stochastic Processes and their Applications

• Publication date

  2009-02-01

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1016/J.SPA.2008.03.004
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Operational Risk : Modeling Analytics

  2006cited by this paper
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

  2006influential reference
• Finite time ruin probability with heavy-tailed insurance and financial risks

  2006cited by this paper
• On the maximum of randomly weighted sums with regularly varying tails

  2006cited by this paper
• An Introduction to Copulas (Springer Series in Statistics)

  2006cited by this paper
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation

  2005influential reference
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory

  2005cited by this paper
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

  2005cited by this paper
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

  2004cited by this paper
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

  2004influential reference
• Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

  2004cited by this paper
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tai

  2003influential reference
• Modelling Extremal Events for Insurance and Finance

  2002cited by this paper
• Ruin probabilities

  2001cited by this paper
• Finite and infinite time ruin probabilities in a stochastic economic environment

  2001cited by this paper
• The discrete-time risk model with correlated classes of business

  2000cited by this paper
• Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998]

  1999cited by this paper
• On the ruin probabilities in a general economic environment

  1999cited by this paper
• An Introduction to Copulas

  1998cited by this paper
• Multivariate models and dependence concepts

  1998cited by this paper
• Loss Models: From Data to Decisions

  1998cited by this paper
• Dependent Risks and Ruin Probabilities in Insurance

  1998cited by this paper
• Limit Theory for Bilinear Processes with Heavy Tailed Noise

  1996influential reference
• Subexponentiality of the product of independent random variables

  1994cited by this paper
• Moving averages with random coefficients and random coefficient autoregressive models

  1991influential reference
• Aspects of Risk Theory

  1991cited by this paper
• Regular variation in more general settings

  1987cited by this paper
• Negative Association of Random Variables with Applications

  1983cited by this paper
• Some Concepts of Negative Dependence

  1982cited by this paper
• Positive dependence in multivariate distributions

  1981cited by this paper
• Multivariate negative dependence

  1981cited by this paper
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

  1979cited by this paper

• Asymptotics for a discounted systemic risk measure in a multi-dimensional risk model with dependent claim sizes and stochastic return

  2026cites this paper
• Second-order asymptotics for randomly weighted sums of dependent subexponential random variables with applications to insurance

  2026cites this paper
• Randomly weighted sums of dependent subexponential random variables with application to systemic risk

  2026cites this paper
• Asymptotics of randomly weighted sums without moment conditions of random weights

  2026cites this paper
• A Breiman's Theorem for a Conditional Dependent Random Vector and Its Applications to Risk Theory

  2025cites this paper
• Second-order Asymptotic Analysis of Tail Probabilities of Randomly Weighted Sums: With Applications to a Bidimensional Discrete-time Risk Model

  2025cites this paper
• A Breiman's theorem for conditional dependent random vector and its applications to risk theory

  2024cites this paper
• A new approach in two-dimensional heavy-tailed distributions

  2024influential citation
• Exact Results for the Distribution of Randomly Weighted Sums

  2024cites this paper
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance

  2023cites this paper
• Externalities in the M/G/1 queue: LCFS-PR versus FCFS

  2023cites this paper
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims

  2023cites this paper
• Uniform Approximation for the Tail Behavior of Bidimensional Randomly Weighted Sums

  2023cites this paper
• Tail behavior of discounted portfolio loss under upper tail comonotonicity

  2023cites this paper
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*

  2023cites this paper
• The Subexponential Distribution wthin Renewal Model

  2022cites this paper
• The distribution of the sum of two dependent randomly weighted random variables with applications

  2022cites this paper
• Non-Robustness of the Cluster-Robust Inference: with a Proposal of a New Robust Method

  2022cites this paper
• On tail behavior of randomly weighted sums of dependent subexponential random variables

  2022cites this paper
• Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims

  2022cites this paper
• On the Kesten-type inequality for randomly weighted sums with applications to an operational risk model

  2021cites this paper
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

  2021cites this paper
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables

  2021cites this paper
• ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES

  2021influential citation
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory

  2020cites this paper
• A Note on Randomly Weighted Sums of Dependent Subexponential Random Variables

  2020cites this paper
• A Kesten-type bound for sums of randomly weighted subexponential random variables

  2020cites this paper
• Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations

  2020influential citation
• Asymptotics for heavy-tailed renewal–reward processes and applications to risk processes and heavy traffic networks

  2020cites this paper
• Interplay of financial and insurance risks in dependent discrete-time risk models

  2020cites this paper
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima

  2020cites this paper
• A Note on Randomly Weighted Sums of Dependent Subexponential Random Variables

  2020cites this paper
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment

  2019cites this paper
• Bivariate regular variation among randomly weighted sums in general insurance

  2019cites this paper
• Bivariate regular variation among randomly weighted sums in general insurance

  2019cites this paper
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

  2019cites this paper
• Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples

  2019cites this paper
• The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks

  2018cites this paper
• On closeness of two discrete weighted sums

  2018cites this paper
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables

  2018cites this paper
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS

  2018cites this paper
• The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks

  2018cites this paper
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*

  2018cites this paper
• A note on the asymptotics for the randomly stopped weighted sums

  2018cites this paper
• Risk- and value-based management for non-life insurers under solvency constraints

  2018cites this paper
• The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks

  2018cites this paper
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory

  2018cites this paper
• Asymptotics for the partial sum and its maximum of dependent random variables*

  2017cites this paper
• Asymptotics for the partial sum and its maximum of dependent random variables*

  2017cites this paper
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

  2017cites this paper
• Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks

  2017cites this paper
• Randomly weighted sums and their maxima with heavy-tailed increments and dependence structure

  2017influential citation
• Some novel results on pairwise quasi-asymptotical independence with applications to risk theory

  2017cites this paper
• Closure properties of the second-order regular variation under convolutions

  2017cites this paper
• Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails

  2017cites this paper
• A necessary and sufficient condition for the subexponentiality of the product convolution

  2017cites this paper
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*

  2017cites this paper
• Asymptotics for randomly weighted and stopped dependent sums

  2016cites this paper
• Ruin Probabilities in Risk Based on a Generalized FGM Dependence Structure

  2016cites this paper
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

  2016cites this paper
• A necessary and sufficient condition for the subexponentiality of product distribution

  2016cites this paper
• Uniform Estimate for Randomly Weighted Sums of Dependent Subexponential Random Variables

  2015cites this paper
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

  2015cites this paper
• New class of distortion risk measures and their tail asymptotics with emphasis on VaR

  2015cites this paper
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions☆

  2015cites this paper
• Second-order properties of tail probabilities of sums and randomly weighted sums

  2015cites this paper
• Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory

  2015influential citation
• Exact upper tail probabilities of random series

  2015cites this paper
• Tail behavior of the sums of dependent and heavy-tailed random variables

  2015cites this paper
• Uniform Estimate for Randomly Weighted Sums of Dependent Subexponential Random Variables

  2015cites this paper
• Second-order properties of tail probabilities of sums and randomly weighted sums

  2015cites this paper
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

  2014cites this paper
• Uniform estimate for the tail probabilities of randomly weighted sums

  2014cites this paper
• The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

  2014cites this paper
• ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK

  2014cites this paper
• Asymptotic Behavior of Randomly Weighted Sums of Dependent Heavy Tailed Random Variables

  2014cites this paper
• Uniform estimate for the tail probabilities of randomly weighted sums

  2014influential citation
• Randomly weighted sums of dependent random variables with dominated variation

  2014cites this paper
• Multivariate risk models under heavy-tailed risks

  2014cites this paper
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

  2014cites this paper
• Randomly Weighted Sums of Conditionnally Dependent Random Variables

  2014cites this paper
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time

  2014cites this paper
• Randomly weighted sums of subexponential random variables with application to capital allocation

  2014cites this paper
• Uniform asymptotics for the tail probability of weighted sums with heavy tails

  2014cites this paper
• Quantitative analysis of extreme risks in insurance and finance

  2013cites this paper
• Weighted Sums of Regularly Varying Random Variables With Dependent Weights

  2013cites this paper
• Approximation of the Tail Probability of Dependent Random Sums Under Consistent Variation and Applications

  2013cites this paper
• Tail behavior of the product of two dependent random variables with applications to risk theory

  2013cites this paper
• Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims

  2013cites this paper
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail ☆

  2013cites this paper
• Tail Behavior of Poisson Shot Noise Processes under Heavy-tailed Shocks and Actuarial Applications

  2013cites this paper
• A Note on the Tail Behavior of Randomly Weighted Sums with Convolution-Equivalently Distributed Random Variables

  2013cites this paper
• On the maximum of randomly weighted sums with subexponential tails

  2013cites this paper
• Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments

  2012influential citation
• Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims

  2012cites this paper
• Uniform Asymptotics for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with Pairwise Quasiasymptotically Independent Claims

  2012cites this paper
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks

  2012cites this paper
• Risk Measures and Multivariate Extensions of Breiman's Theorem

  2012influential citation
• Randomly Weighted Sums of Subexponential Random Variables in Insurance and Finance Qihe Tang and

  2012cites this paper
• Tail behavior of the product of two dependent random variables with applications to risk theory

  2012cites this paper