Title |
Tail asymptotics of a sum of heavy-tailed distributions with application to risk theory / |
Translation of Title |
Sunkiauodegių skirstinių sumos asimptotika rizikos teorijoje. |
Authors |
Jaunė, Eglė |
Full Text |
|
Pages |
72 |
Keywords [eng] |
randomly weighted sum ; tail probability ; tail expectation ; heavy-tailed distributions ; dependence structures |
Abstract [eng] |
In the thesis we investigate the asymptotic properties of both tail probability ant tail expectation of a randomly weighted sum with application to risk theory. In this sum primary random variables are real- valued and heavy-tailed, and random weights are nonnegative and nondegenerated at zero. The asymptotic analysis is carried out for various distribution classes with different dependence structures. Results are verified by a simulation study. |
Dissertation Institution |
Vilniaus universitetas. |
Type |
Doctoral thesis |
Language |
English |
Publication date |
2018 |