Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima |
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Authors: | Jianxi Lin |
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Affiliation: | 1. Mathematics School of Xiamen University, Xiamen, Fujian, Chinajianxilin@xmu.edu.cn |
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Abstract: | AbstractIn this paper the second order asymptotics of the tail probabilities of randomly weighted sums and their maxima are established in the case that the underlying primary random variables are subexponential. No any assumption is made on the dependence structure between the random weights, but we assume these weights are bounded away from zero and infinity. |
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Keywords: | Randomly weighted sum Second order asymptotics Tail probability Subexponential distribution Heavy-tailed distribution Ruin probability |
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