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 ≤ kn} be n independent and real-valued random variables with common subexponential distribution function, and let {θk, 1 ≤ kn} be other n random variables independent of {X k , 1 ≤ kn} and satisfying a ≤ θ k b for some 0 < ab < ∞ for all 1 ≤ kn. 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 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 ≤ kn}. An application to ruin theory is proposed.
Total citations
20052006200720082009201020112012201320142015201620172018201920202021202220232024273121510111191616910108646913