Abstract and Applied Analysis

A Note on the Tail Behavior of Randomly Weighted Sums with Convolution-Equivalently Distributed Random Variables

Yang Yang, Jun-feng Liu, and Yu-lin Zhang

Full-text: Open access

Abstract

We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution-equivalent distributions. Our obtained result can be directly applied to a discrete-time insurance risk model with insurance and financial risks and derive the asymptotics for the finite-time probability of the above risk model.

Article information

Source
Abstr. Appl. Anal., Volume 2013, Special Issue (2013), Article ID 273217, 4 pages.

Dates
First available in Project Euclid: 26 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1393443621

Digital Object Identifier
doi:10.1155/2013/273217

Mathematical Reviews number (MathSciNet)
MR3139439

Zentralblatt MATH identifier
1291.91135

Citation

Yang, Yang; Liu, Jun-feng; Zhang, Yu-lin. A Note on the Tail Behavior of Randomly Weighted Sums with Convolution-Equivalently Distributed Random Variables. Abstr. Appl. Anal. 2013, Special Issue (2013), Article ID 273217, 4 pages. doi:10.1155/2013/273217. https://projecteuclid.org/euclid.aaa/1393443621


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