Asymptotic Results for Tail Probabilities of Sums of Dependent and Heavy-Tailed Random Variables  

作　　者：Kam Chuen YUEN Chuancun YIN 

机构地区：[1]Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, HongKong, China. [2]Corresponding author. School of Mathematical Sciences, Qufu Normal University, Qufu 273165, Shan- dong, China

出　　处：《Chinese Annals of Mathematics,Series B》2012年第4期557-568,共12页数学年刊（B辑英文版）

基　　金：supported by the National Natural Science Foundation of China (No. 11171179);the Research Fund for the Doctoral Program of Higher Education of China (No. 20093705110002)

摘　　要：Abstract Let X1, X2,... be a sequence of dependent and heavy-tailed random variables with distributions F1, F2,.. on （-∞,∞）, and let T be a nonnegative integer-valued random variable independent of the sequence {Xk, k 〉 1}. In this framework, the asymptotic behavior of the tail probabilities of the quantities Sn = fi Xk and S（n） =∑ k=1 n 〉 1, and their randomized versions ST and S（τ） are studied. Some risk theory are presented. max Sk for 1〈k〈n applications to the

关 键 词：Asymptotic tail probability COPULA Heavy-tailed distribution Partialsum Risk process 

分 类 号：O211.5[理学—概率论与数理统计]