Authors
Qihe Tang, Gurami Tsitsiashvili
Publication date
2003/9
Journal
Extremes
Volume
6
Pages
171-188
Publisher
Kluwer Academic Publishers
Description
Let {X k , 1 ≤ k ≤ n} be n independent and real-valued random variables with common subexponential distribution function, and let {θk, 1 ≤ k ≤ n} be other n random variables independent of {X k , 1 ≤ k ≤ n} and satisfying a ≤ θ k ≤ b for some 0 < a ≤ b < ∞ for all 1 ≤ k ≤ n. This paper proves that the asymptotic relations P (max1 ≤ m ≤ n ∑ k=1 m θ k X k > x) ∼ P (sum k=1 n θ k X k > x) ∼ sum k=1 n P (θ k X k > x) hold as x → ∞. In doing so, no any assumption is made on the dependence structure of the sequence {θ k , 1 ≤ k ≤ n}. An application to ruin theory is proposed.
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Scholar articles
Q Tang, G Tsitsiashvili - Extremes, 2003