Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables

Details Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables

2011-01-21

arxiv.org/abs/1101.4056v1

Mathematics

Probability

Scientific paper

Let $\{X_1, X_2, ... \}$ be a sequence of dependent heavy-tailed random variables with distributions $F_1, F_2,...$ on $(-\infty,\infty)$, and let $\tau$ be a nonnegative integer-valued random variable independent of the sequence $\{X_k, k \ge 1\}$. In this framework, we study the asymptotic behavior of the tail probabilities of the quantities $X_{(n)} = \max_{1\le k \le n} X_k$, $S_n =\sum_{k=1}^n X_k$ and $S_{(n)}=\max_{1\le k\le n} S_k$ for $n>1$, and for those of their randomized versions $X_{(\tau)}$, $S_{\tau}$ and $S_{(\tau)}$. We also consider applications of the results obtained to some commonly-used risk processes.

Affiliated with

Also associated with

No associations

Rating

Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-18599