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Randomly Weighted Sums of Subexponential Random Variables with Application to Capital Allocation
Company: Extremes
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: May
Resource Link: Click here to open
Pages: 467-493
Download Count: 0
View Count: 1674
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-31-2014
Publisher: Administrator
Summary
Explores the tail behavior of the sum of real valued, independent and subexponentially distributed random variables, with nonnegative and arbitrarily dependent weights independent of the random variables. It is proven that the tail probability of the weighted sum is equal to the sum of the tail probabilities of the weights. An application to capital allocation is proposed.
(volume 17, number 3)
This document may be available for downloading without charge from Citeseerx at this link: http://bit.ly/gloria-mundi-1ovO7L0 (accessed 8/31/2014).
Author(s)
Tang, Qihe Sign in to follow this author
Yuan, Zhongyi Sign in to follow this author
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