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Article: Weighted sums of subexponential random variables and their maxima

TitleWeighted sums of subexponential random variables and their maxima
Authors
KeywordsAsymptotics
Discounted loss
Matuszewska index
Maximum
Ruin probability
Subexponentiality
Tail probability
Uniformity
Weighted sum
Issue Date2005
PublisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Advances In Applied Probability, 2005, v. 37 n. 2, p. 510-522 How to Cite?
AbstractLet {Xk, k = 1, 2,...} be a sequence of independent random variables with common subexponential distribution F, and let {wk, k = 1, 2,...} be a sequence of positive numbers. Under some mild summability conditions, we establish simple asymptotic estimates for the extreme tail probabilities of both the weighted sum ∑k=1 n wkXk and the maximum of weighted sums max1≤m≤n ∑k=1 m wkXk, subject to the requirement that they should hold uniformly for n = 1, 2,.... Potentially, a direct application of the result is to risk analysis, where the ruin probability is to be evaluated for a company having gross loss Xk during the kth year, with a discount or inflation factor wk. © Applied Probability Trust 2005.
Persistent Identifierhttp://hdl.handle.net/10722/82949
ISSN
2015 Impact Factor: 0.654
2015 SCImago Journal Rankings: 1.009
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorChen, Yen_HK
dc.contributor.authorNg, KWen_HK
dc.contributor.authorTang, Qen_HK
dc.date.accessioned2010-09-06T08:35:14Z-
dc.date.available2010-09-06T08:35:14Z-
dc.date.issued2005en_HK
dc.identifier.citationAdvances In Applied Probability, 2005, v. 37 n. 2, p. 510-522en_HK
dc.identifier.issn0001-8678en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82949-
dc.description.abstractLet {Xk, k = 1, 2,...} be a sequence of independent random variables with common subexponential distribution F, and let {wk, k = 1, 2,...} be a sequence of positive numbers. Under some mild summability conditions, we establish simple asymptotic estimates for the extreme tail probabilities of both the weighted sum ∑k=1 n wkXk and the maximum of weighted sums max1≤m≤n ∑k=1 m wkXk, subject to the requirement that they should hold uniformly for n = 1, 2,.... Potentially, a direct application of the result is to risk analysis, where the ruin probability is to be evaluated for a company having gross loss Xk during the kth year, with a discount or inflation factor wk. © Applied Probability Trust 2005.en_HK
dc.languageengen_HK
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_HK
dc.relation.ispartofAdvances in Applied Probabilityen_HK
dc.subjectAsymptoticsen_HK
dc.subjectDiscounted lossen_HK
dc.subjectMatuszewska indexen_HK
dc.subjectMaximumen_HK
dc.subjectRuin probabilityen_HK
dc.subjectSubexponentialityen_HK
dc.subjectTail probabilityen_HK
dc.subjectUniformityen_HK
dc.subjectWeighted sumen_HK
dc.titleWeighted sums of subexponential random variables and their maximaen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0001-8678&volume=37&issue=2&spage=510&epage=522&date=2005&atitle=Weighted+sums+of+subexponential+random+variables+and+their+maximaen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1239/aap/1118858636en_HK
dc.identifier.scopuseid_2-s2.0-22244462728en_HK
dc.identifier.hkuros119440en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-22244462728&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume37en_HK
dc.identifier.issue2en_HK
dc.identifier.spage510en_HK
dc.identifier.epage522en_HK
dc.identifier.isiWOS:000230101300011-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridChen, Y=36468032600en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.scopusauthoridTang, Q=7201632128en_HK

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