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Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory |
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| Authors: | |
| Institution: | 1. School of Management and School of Applied Mathematics, University of Electronic Science and Technology of China, Chengdu 610054, China 2. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China |
| Abstract: | This paper obtains the uniform estimate for maximum of sums of independent and heavy-tailed random variables with nonnegative random weights,which can be arbi- trarily dependent of each other.Then the applications to ruin probabilities in a discrete time risk model with dependent stochastic returns are considered. |
| Keywords: | dependent stochastic return discount factor heavy-tails discrete time insurance risk model maxima of randomly weighted sums ruin probability tail probabilities uniformly asymptotic estimate |
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