Weighted sums of subexponential random variables and their maxima

Advances in Applied Probability

Volumn 37, Issue 2, 2005, Pages 510-522

  Chen, Yiqing ^a   Ng, Kai W ^b   Tang, Qihe ^c  

^a GUANGDONG UNIVERSITY OF TECHNOLOGY   (China)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

^c Dept of Electrical and Computer Engineering   (Canada)

Author keywords

Asymptotics; Discounted loss; Matuszewska index; Maximum; Ruin probability; Subexponentiality; Tail probability; Uniformity; Weighted sum

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; OPTIMIZATION; PROBABILITY DISTRIBUTIONS;

DISCOUNTED LOSS; MATUSZEWSKA INDEX; RUIN PROBABILITY; SUBEXPONENTIALITY; TAIL PROBABILITY; WEIGHTED SUM;

RANDOM PROCESSES;

EID: 22244462728     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1118858636     Document Type: Article

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