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Query: faculty: "FEB" and publication year: "2004"

AuthorsQ. Tang, G.Sh. Tsitsiashvili
TitleRandomly weighted sums of subexponential random variables with application to ruin theory
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractLet {X k , 1 k n} be n independent and real-valued random variables with common subexponential distribution function, and let {k, 1 k n} be other n random variables independent of {X k , 1 k n} and satisfying a k b for some 0 < a b < for all 1 k n. This paper proves that the asymptotic relations P (max1 m n k=1 m k X k > x) P (sum k=1 n k X k > x) sum k=1 n P ( k X k > x) hold as x . In doing so, no any assumption is made on the dependence structure of the sequence { k , 1 k n}. An application to ruin theory is proposed.
Document typeArticle
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