Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks
Probability
2014-10-08 v1
Abstract
In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandaypa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.
Keywords
Cite
@article{arxiv.1401.4614,
title = {Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks},
author = {Enkelejd Hashorva and Dominik Kortschak},
journal= {arXiv preprint arXiv:1401.4614},
year = {2014}
}