Tail asymptotics of randomly weighted large risks

Published 3 May 2014 in math.PR, math.ST, and stat.TH | (1405.0593v2)

Abstract: In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual tail behaviour has a crucial role. An application is provided for Log-Normal risks.

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