| Title |
Sunkiauodegių skirstinių sumos asimptotika rizikos teorijoje |
| Translation of Title |
Tail asymptotics of a sum of heavy-tailed distributions with application to risk theory. |
| Authors |
Jaunė, Eglė |
| Full Text |
|
| Pages |
22 |
| 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 |
Summaries of doctoral thesis |
| Language |
Lithuanian |
| Publication date |
2018 |
