Randomly weighted sums of subexponential random variables with application to ruin theory
| Authors |
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| Publication date | 2003 |
| Journal | Extremes |
| Volume | Issue number | 6 | 3 |
| Pages (from-to) | 171-188 |
| Number of pages | 18 |
| Organisations |
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| Abstract | Let {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 type | Article |
| Language | English |
| Published at |
https://doi.org/10.1023/B:EXTR.0000031178.19509.57
(Final published version)
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