Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
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DOI：
10.1360/022004-16
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发表时间：
2005-10
期刊：
影响因子：
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通讯作者：
Dingcheng Wang;C. Su;Yong Zeng
中科院分区：
文献类型：
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作者：
Dingcheng Wang;C. Su;Yong Zeng
本文得到了独立随机变量和重尾随机变量之和的最大值的一致估计，其中重尾随机变量和的权重可以是任意相依的。然后讨论了具有相依随机收益的离散时间风险模型破产概率的应用。
This paper obtains the uniform estimate for maximum of sums of independent and heavy-tailed random variables with nonnegative random weights, which can be arbitrarily dependent of each other. Then the applications to ruin probabilities in a discrete time risk model with dependent stochastic returns are considered.