Uniform Estimate for Maximum of Randomly Weighted Sums with Applications to Ruin Theory |
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| Authors: | Xin-mei Shen Zheng-yan Lin Yi Zhang |
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| Institution: | 1. Department of Mathematics, Zhejiang University, Hangzhou, 310027, China
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| Abstract: | This paper obtains the uniform estimate for maximum of sums of upper-tail independent and heavy-tailed random variables with
nonnegative dependent random weights. Then the applications to ruin probabilities in a discrete time risk model with dependent
gross losses and dependent stochastic returns are considered. |
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| Keywords: | |
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