Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

By Dingcheng Wang, Qihe Tang. 2006

105 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0a4a5f779578ee32f4490cf5bb45825d724faf51

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009, background): “[12], and Wang and Tang[32] examined the asymptotic tail behavior of weighted sums in which the weights are positive random variables and can be arbitrarily dependent.”
Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory (2005, background): “Cai [4] , it is assumed that {ri; i =1 , 2, ··· }are i.i.d.. Wang and Tang [ 5 ] consider”
Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate (2008, methodology): “12), we obtain the following lemma (see also Tang and Tsitsiashvili[17]; Wang and Tang[19]): Lemma 3.”
Asymptotics for Weighted Random Sums (2011, background): “The setting where the {Xi} are real-valued with right tail in the extended regular variation class was studied in [21] (N = n) and [22] (both N = n and N = ∞); in the latter the {Xi} are allowed to be generally dependent with no bivariate upper tail dependence.”
Tail probabilities for infinite series of regularly varying random vectors (2007, background): “The most general results on the tail behavior of the series (1.1) so far have been the works of Resnick and Willekens (1991) and Wang and Tang (2006) who considered the one-dimensional case p= d= 1 and the sequence (Aj) being non-negative and independent of the sequence (Zj).”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “Note that the result of Resnick and Willekens (1991) has recently been extended in many ways by Goovaerts et al. (2005), Wang and Tang (2006), Zhang et al. (2009), and Chen and Yuen (2009).”
Approximation of the tail probability of randomly weighted sums and applications (2009, background): “Tang and Tsitsiashvili [25] established the asymptotic formulation regarding the maxima Mn as in (1.2) for the case when {X i , i ≥ 1} belong to the intersection of the longtailed class and dominant variation class, and {Θi , i ≥ 1} are structured through the independent sequence {Yi , i ≥ 1} of r.v”
Tail asymptotics for the sum of two heavy-tailed dependent risks (2006, background): “[15], see also Tang & Wang [30] for a generalization to the class D ∩ L.”