| Title |
Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increaments |
| Authors |
Sprindys, Jonas ; Šiaulys, Jonas |
| DOI |
10.15388/namc.2021.26.24608 |
| Full Text |
|
| Is Part of |
Nonlinear analysis: modelling and control.. Vilnius : Vilniaus universiteto leidykla. 2021, vol. 26, no. 6, p. 1200-1212.. ISSN 1392-5113. eISSN 2335-8963 |
| Keywords [eng] |
sum of random variables ; asymptotic independence ; tail moment ; truncated moment ; heavy tail ; consistently varying distribution |
| Abstract [eng] |
In this paper, we consider the sum Snξ = ξ1 + ... + ξn of possibly dependent and nonidentically distributed real-valued random variables ξ1, ... , ξn with consistently varying distributions. By assuming that collection {ξ1, ... , ξn} follows the dependence structure, similar to the asymptotic independence, we obtain the asymptotic relations for E((Snξ)α1(Snξ > x)) and E((Snξ – x)+)α, where α is an arbitrary nonnegative real number. The obtained results have applications in various fields of applied probability, including risk theory and random walks. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2021 |
| CC license |
|
