Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory

作者：Shen, Xin-Mei; Lin, Zheng-Yan; Zhang, Yi^*

来源：Methodology and Computing in Applied Probability, 2009, 11(4): 669-685.

DOI：10.1007/s11009-008-9090-6

• Uniformly asymptotic estimate
• Ruin probability
• Consistent variation
• Upper-tail independent

This paper obtains the uniform estimate for maximum of sums of upper-tail independent and heavy-tailed random variables with nonnegative dependent random weights. Then the applications to ruin probabilities in a discrete time risk model with dependent gross losses and dependent stochastic returns are considered.

• 出版日期2009-12
• 单位浙江大学