Randomly weighted sums of subexponential random variables with application to capital allocation
Randomly weighted sums of subexponential random variables with application to capital allocation
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DOI:
10.1007/s10687-014-0191-z
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发表时间:
2014-05
期刊:
影响因子:
1.3
通讯作者:
Q. Tang;Zhongyi Yuan
中科院分区:
文献类型:
--
作者:
Q. Tang;Zhongyi Yuan
We are interested in the tail behavior of the randomly weighted sum, in which the primary random variablesX1, …,Xnare real valued, independent and subexponentially distributed, while the random weights𝜃1, …,𝜃nare nonnegative and arbitrarily dependent, but independent ofX1, …,Xn. For various important cases, we prove that the tail probability ofis asymptotically equivalent to the sum of the tail probabilities of𝜃1X1, …,𝜃nXn, which complies with the principle of a single big jump. An application to capital allocation is proposed.