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multivariate sign in to follow this
randomly weighted sums sign in to follow this
ruin probability sign in to follow this
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Approximation of the Tail Probability of Randomly Weighted Sums and Applications
Company: Stochastic Processes and their Applications
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: February
Resource Link: Click here to open
Pages: 655-675
Download Count: 0
View Count: 1637
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-1-2014
Publisher: Administrator
Summary
Considers the problem of approximating the tail probability of randomly weighted sums of a sequence of non-negative, identically distributed but non necessarily independent random variables from the extended regular variation class. An application to ruin probabilities is examined.
(volume 119, number 2)
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Author(s)
Zhang, Yi Sign in to follow this author
Weng, Chengguo Sign in to follow this author
Shen, Xinmei Sign in to follow this author
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