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Conference Paper: Sums of pairwise quasi-asymptotically independent. Random variables with consistent variation
| Title | Sums of pairwise quasi-asymptotically independent. Random variables with consistent variation |
|---|---|
| Authors | |
| Keywords | Asymptotics Consistent variation Matuszewska indices Pairwise asymptotic independence Sum |
| Issue Date | 2008 |
| Citation | The 12th International Congress on Insurance: Mathematics and Economics (IME 2008), Dalian, China, 16-18 July 2008. How to Cite? |
| Abstract | This article investigates the tail asymptotic behavior of the sum of pairwise quasi-asymptotically independent random variables with consistently varying tails. We prove that the tail probability of the sum is asymptotically equal to the sum of individual tail probabilities. This matches a feature of subexponential distributions. This result is then extended to weighted sums and random sums. |
| Persistent Identifier | http://hdl.handle.net/10722/63162 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chen, Y | en_HK |
| dc.contributor.author | Yuen, KC | en_HK |
| dc.date.accessioned | 2010-07-13T04:17:26Z | - |
| dc.date.available | 2010-07-13T04:17:26Z | - |
| dc.date.issued | 2008 | en_HK |
| dc.identifier.citation | The 12th International Congress on Insurance: Mathematics and Economics (IME 2008), Dalian, China, 16-18 July 2008. | - |
| dc.identifier.uri | http://hdl.handle.net/10722/63162 | - |
| dc.description.abstract | This article investigates the tail asymptotic behavior of the sum of pairwise quasi-asymptotically independent random variables with consistently varying tails. We prove that the tail probability of the sum is asymptotically equal to the sum of individual tail probabilities. This matches a feature of subexponential distributions. This result is then extended to weighted sums and random sums. | - |
| dc.language | eng | en_HK |
| dc.relation.ispartof | International Congress on Insurance: Mathematics and Economics | - |
| dc.subject | Asymptotics | - |
| dc.subject | Consistent variation | - |
| dc.subject | Matuszewska indices | - |
| dc.subject | Pairwise asymptotic independence | - |
| dc.subject | Sum | - |
| dc.title | Sums of pairwise quasi-asymptotically independent. Random variables with consistent variation | en_HK |
| dc.type | Conference_Paper | en_HK |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_HK |
| dc.identifier.authority | Yuen, KC=rp00836 | en_HK |
| dc.identifier.hkuros | 145313 | en_HK |
| dc.description.other | The 12th International Congress on Insurance: Mathematics and Economics (IME 2008), Dalian, China, 16-18 July 2008. | - |