Asymptotics for randomly weighted and stopped dependent sums. Issue 2 (17th February 2016)

• Record Type: Journal Article
• Authors: Yang, Yang; Leipus, Remigijus; Šiaulys, Jonas
• Is Part Of: Stochastics. Volume 88:Issue 2(2016)
• Page Start: 300
• Page End: 319
• Publication Date: 2016-02-17
• Subjects: asymptotic tail probability -- randomly weighted and stopped sums -- dominated variation -- extended negative upper orthant dependence -- bivariate upper tail independence -- random-time ruin probability; 62E20 -- 62P05; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2015.1052812
• Languages: English
• ISSNs: 1744-2508

Abstract

Abstract : This paper deals with the tail probability of, where is a sequence of extended negatively upper orthant dependent or bivariate upper tail independent, identically distributed random variables with dominatedly varying tails, is a sequence of nonnegative nondegenerate at zero random variables (not necessarily independent and identically distributed), is a random variable taking values in . In addition, , and are mutually independent. Under some mild conditions, the weak asymptotic equivalence relations for the probability are established. An application to the random-time ruin probability in the discrete time risk model is provided.