A Note on the Tail Behavior of Randomly Weighted Sums with Convolution-Equivalently Distributed Random Variables
oleh: Yang Yang, Jun-feng Liu, Yu-lin Zhang
| Format: | Article |
|---|---|
| Diterbitkan: | Wiley 2013-01-01 |
Deskripsi
We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution-equivalent distributions. Our obtained result can be directly applied to a discrete-time insurance risk model with insurance and financial risks and derive the asymptotics for the finite-time probability of the above risk model.