Tail asymptotics of randomly weighted large risks
Probability
2014-06-24 v2 Statistics Theory
Statistics Theory
Abstract
In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual tail behaviour has a crucial role. An application is provided for Log-Normal risks.
Cite
@article{arxiv.1405.0593,
title = {Tail asymptotics of randomly weighted large risks},
author = {Alexandru V. Asimit and Enkelejd Hashorva and Dominik Kortschak},
journal= {arXiv preprint arXiv:1405.0593},
year = {2014}
}