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Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory

https://doi.org/10.1016/j.jmaa.2019.123389
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4419-9473-8openalex-snapshot
An Introduction to Heavy-Tailed and Subexponential Distributions
inferredcites →https://doi.org/10.1007/978-1-4614-7101-1openalex-snapshot
An Introduction to Heavy-Tailed and Subexponential Distributions
inferredcites →https://doi.org/10.1007/bf01440733openalex-snapshot
Modelling of extremal events in insurance and finance
inferredcites →https://doi.org/10.1007/s10114-010-7574-0openalex-snapshot
The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
inferredcites →https://doi.org/10.1007/s10687-014-0191-zopenalex-snapshot
Randomly weighted sums of subexponential random variables with application to capital allocation
inferredcites →https://doi.org/10.1007/s10959-008-0159-5openalex-snapshot
Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables
inferredcites →https://doi.org/10.1016/0304-4149(94)90113-9openalex-snapshot
Subexponentiality of the product of independent random variables
inferredcites →https://doi.org/10.1016/j.insmatheco.2008.03.009openalex-snapshot
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
inferredcites →https://doi.org/10.1016/j.jkss.2016.11.002openalex-snapshot
A note on weighted infinite sums of dependent regularly varying tailed random variables
inferredcites →https://doi.org/10.1016/j.jmaa.2010.10.020openalex-snapshot
Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
inferredcites →https://doi.org/10.1016/j.jmaa.2014.06.048openalex-snapshot
Randomly weighted sums of dependent random variables with dominated variation
inferredcites →https://doi.org/10.1016/j.spa.2008.03.004openalex-snapshot
Approximation of the tail probability of randomly weighted sums and applications
inferredcites →https://doi.org/10.1016/j.spl.2012.05.016openalex-snapshot
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
inferredcites →https://doi.org/10.1016/j.spl.2013.09.031openalex-snapshot
Max-sum equivalence of conditionally dependent random variables
inferredcites →https://doi.org/10.1017/s0021900200011591openalex-snapshot
Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
inferredcites →https://doi.org/10.1023/b:extr.0000031178.19509.57openalex-snapshot
Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory
inferredcites →https://doi.org/10.1080/03461230802700897openalex-snapshot
Extremes on the discounted aggregate claims in a time dependent risk model
inferredcites →https://doi.org/10.1080/03461238.2013.878853openalex-snapshot
Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
inferredcites →https://doi.org/10.1080/03461238.2017.1329160openalex-snapshot
Randomly weighted sums of dependent subexponential random variables with applications to risk theory
inferredcites →https://doi.org/10.1080/03610926.2015.1112916openalex-snapshot
Asymptotic tail behavior of a random sum with conditionally dependent subexponential summands
inferredcites →https://doi.org/10.1080/15326340802641006openalex-snapshot
Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
inferredcites →https://doi.org/10.1186/s13660-019-2067-xopenalex-snapshot
Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
inferredcites →https://doi.org/10.1239/aap/1293113154openalex-snapshot
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
inferredcites →https://doi.org/10.1239/jap/1208358953openalex-snapshot
Sums of Dependent Nonnegative Random Variables with Subexponential Tails

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4640754openalex-extracted
inferred← citeshttps://doi.org/10.1002/asmb.70028openalex-snapshot
Joint Tail Probability of Renewal Models of Dependent Heavy‐Tailed Random Variables With Applications to Systemic Risk Measures
inferred← citeshttps://doi.org/10.1007/978-3-030-51431-0_23openalex-snapshot
Risk Evaluation of Project Bidding Based on TOPSIS Model
inferred← citeshttps://doi.org/10.1007/s10986-021-09546-5openalex-snapshot
Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
inferred← citeshttps://doi.org/10.1007/s10986-023-09589-wopenalex-snapshot
A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
inferred← citeshttps://doi.org/10.1007/s10986-025-09664-4openalex-snapshot
Asymptotic estimates for systemic risk with dependent heavy-tailed losses
inferred← citeshttps://doi.org/10.1007/s10986-026-09709-2openalex-snapshot
Asymptotics for the joint tail probability of bidimensional randomly weighted sums of dependent and heavy-tailed random variables
inferred← citeshttps://doi.org/10.1007/s11009-021-09921-2openalex-snapshot
Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims
inferred← citeshttps://doi.org/10.1007/s11009-024-10103-zopenalex-snapshot
Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims
inferred← citeshttps://doi.org/10.1007/s11009-024-10118-6openalex-snapshot
On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures
inferred← citeshttps://doi.org/10.1007/s13160-021-00472-0openalex-snapshot
Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
inferred← citeshttps://doi.org/10.1016/j.spl.2019.108661openalex-snapshot
A Kesten-type bound for sums of randomly weighted subexponential random variables
inferred← citeshttps://doi.org/10.1016/j.spl.2020.108803openalex-snapshot
Approximating sums of products of dependent random variables
inferred← citeshttps://doi.org/10.1017/apr.2025.10038openalex-snapshot
Uniform asymptotics for a time-dependent bidimensional delay-claim risk model with stochastic return and dependent subexponential claims
inferred← citeshttps://doi.org/10.1080/03610926.2022.2055072openalex-snapshot
Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
inferred← citeshttps://doi.org/10.1080/03610926.2022.2107224openalex-snapshot
On tail behavior of randomly weighted sums of dependent subexponential random variables
inferred← citeshttps://doi.org/10.1080/03610926.2022.2117558openalex-snapshot
The distribution of the sum of two dependent randomly weighted random variables with applications
inferred← citeshttps://doi.org/10.1080/03610926.2022.2122840openalex-snapshot
The finite-time ruin probability of a risk model with stochastic return and subexponential claim sizes*
inferred← citeshttps://doi.org/10.1080/03610926.2024.2379040openalex-snapshot
Asymptotics for ruin probabilities of a bidimensional risk model with a random number of delayed claims
inferred← citeshttps://doi.org/10.1080/03610926.2026.2621784openalex-snapshot
Randomly weighted sums of dependent subexponential random variables with application to systemic risk
inferred← citeshttps://doi.org/10.1080/17442508.2023.2236743openalex-snapshot
Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
inferred← citeshttps://doi.org/10.1080/17442508.2026.2635120openalex-snapshot
Second-order asymptotics for randomly weighted sums of dependent subexponential random variables with applications to insurance
inferred← citeshttps://doi.org/10.1137/s0040585x97t992458openalex-snapshot
Positively Decreasing and Related Distributions under Dependence
inferred← citeshttps://doi.org/10.2298/fil2106879gopenalex-snapshot
On the Kesten-type inequality for randomly weighted sums with applications to an operational risk model
inferred← citeshttps://doi.org/10.4213/tvp5753openalex-snapshot
Positively decreasing and related distributions under dependence
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