Randomly Weighted Sums of Subexponential Random Variables in Insurance and Finance Qihe Tang and

Randomly Weighted Sums of Subexponential Random Variables in Insurance and Finance Qihe Tang and
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发表时间:
2012
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通讯作者:
Zhongyi Yuan
Zhongyi Yuan
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其他
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作者:
Zhongyi Yuan

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我们对随机加权和 Σn i=1 θiXi 的尾部行为感兴趣,其中主要随机变量 X1, . 。 。 , Xn 是实值,独立且次指数分布,而随机权重 θ1, . 。 。 , θn 为非负且任意相关,但独立于 X1, 。 。 。 ,Xn。对于各种情况,我们证明 Σn i=1 θiXi 的尾部概率渐近等价于 θ1X1, 的尾部概率之和。 。 。 ,θnXn,符合单次大跳跃的原理。结果显着改进了 Tang 和 Tsitsiashvili 的工作(2003,Extremes)。提出了资本配置申请。
We are interested in the tail behavior of the randomly weighted sum ∑n i=1 θiXi, in which the primary random variables X1, . . . , Xn are real valued, independent and subexponentially distributed, while the random weights θ1, . . . , θn are nonnegative and arbitrarily dependent, but independent of X1, . . . , Xn. For various cases, we prove that the tail probability of ∑n i=1 θiXi is asymptotically equivalent to the sum of the tail probabilities of θ1X1, . . . , θnXn, which complies with the principle of a single big jump. The results significantly improve the work of Tang and Tsitsiashvili (2003, Extremes). An application to capital allocation is proposed.