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引用本文:????,???,????,????.???帺??????β????????????????β??????????[J].应用概率统计,2019,35(1):39-50.
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Asymptotics for Tail Probabilities of the Sum and Its Maximum of Extended Negatively Dependent and Heavy-Tailed Random Variables
ZHANG Ting,LI Feng,YANG Yang,LIN Jinguan.Asymptotics for Tail Probabilities of the Sum and Its Maximum of Extended Negatively Dependent and Heavy-Tailed Random Variables[J].Chinese Journal of Applied Probability and Statisties,2019,35(1):39-50.
Authors:ZHANG Ting  LI Feng  YANG Yang  LIN Jinguan
Institution:School of Statistics and Mathematics, Nanjing Audit University, Nanjing, 211815, China
Abstract:Let $X_1,X_2,\ldots,X_n$ be a sequence of extended negatively dependent random variables with distributions $F_1,F_2,\ldots,F_n$,respectively. Denote by $S_n=X_1+X_2+\cdots+X_n$. This paper establishes the asymptotic relationship for the quantities $\pr(S_n>x)$, $\pr(\max\{X_1,X_2, \ldots,X_n\}>x)$, $\pr(\max\{S_1,S_2$, $\ldots,S_n\}>x)$ and $\tsm_{k=1}^n\pr(X_k>x)$ in the three heavy-tailed cases. Based on this, this paper also investigates the asymptotics for the tail probability of the maximum of randomly weighted sums, and checks its accuracy via Monte Carlo simulations. Finally, as an application to the discrete-time risk model with insurance and financial risks, the asymptotic estimate for the finite-time ruin probability is derived.
Keywords:extended negative dependence  consistently varying tailed distribution  dominatedly varying tailed distribution  long-tailed distribution  Monte Carlo simulation  discrete-time risk
  model  finite-time ruin probability  
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