Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks
Détails
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Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
ID Serval
serval:BIB_DAB19E287EFD
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks
Périodique
Stochastic Models
ISSN
1532-6349 (Print)
1532-4214 (Electronic)
1532-4214 (Electronic)
Statut éditorial
Publié
Date de publication
01/2015
Peer-reviewed
Oui
Volume
31
Numéro
1
Pages
1-19
Langue
anglais
Résumé
Let X-1, horizontal ellipsis , X-n be n real-valued dependent random variables. With motivation from Mitra and Resnick([24]), we derive tail asymptotic expansion for the weighted sum of order statistics X-1: n <= ... <= X-n: n of X-1, horizontal ellipsis , X-n under the general case in which the distribution function of X-n: n is long-tailed or rapidly varying and X-1, horizontal ellipsis , X-n may not be comparable in terms of their tail probabilities. We also present two examples and an application of our results in risk theory.
Mots-clé
Aggregated risk, Weighted sums, Mitra-Resnick conditions, Gumbel max-domain of attraction, Long-tailed distribution
Web of science
Création de la notice
07/08/2014 8:50
Dernière modification de la notice
20/08/2019 16:59