A note on the max-sum equivalence of randomly weighted sums of heavy-tailed random variables

作者：Yang Yang; Wang Kaiyong; Leipus Remigijus; Siaulys Jonas^*

来源：Nonlinear Analysis: Modelling and Control , 2013, 18(4): 519-525.

• long-tailed distribution
• randomly weighted sum
• max-sum equivalence

This paper investigates the asymptotic behavior for the tail probability of the randomly weighted sums Sigma(n)(k=1)theta X-k(k) and their maximum, where the random variables X-k and the random weights theta(k) follow a certain dependence structure proposed by Asimit and Badescu [1] and Li et al. [2]. The obtained results can be used to obtain asymptotic formulas for ruin probability in the insurance risk models with discounted factors.

• 出版日期2013-9-25
• 单位东南大学