Title :
Randomly Weighted Sums of Negatively Associated Random Variables with Heavy Tails
Author_Institution :
Sch. of Appl. Math., Univ. of Electron. Sci. & Technol. of China Chengdu, Chengdu, China
Abstract :
This paper investigates the asymptotic behavior of tail probabilities of randomly weighted sums of negatively associated (NA) heavy-tailed random variables with nonnegative dependent random weights. Then the applications to ruin probabilities in a discrete time risk model with dependent net losses and dependent stochastic returns are considered.
Keywords :
probability; random processes; asymptotic behavior; dependent net loss; dependent stochastic return; discrete time risk model; negatively associated heavy-tailed random variables; nonnegative dependent random weight; randomly weighted sums; tail probability; Distribution functions; Economic indicators; Eyes; Mathematics; Paper technology; Probability distribution; Random variables; Stochastic processes; Tail; Tin;
Conference_Titel :
Computational Intelligence and Software Engineering, 2009. CiSE 2009. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4507-3
Electronic_ISBN :
978-1-4244-4507-3
DOI :
10.1109/CISE.2009.5363193
