Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks

Enkelejd Hashorva; Dominik Kortschak

doi:10.1016/j.spl.2014.01.018

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arXiv · 1401.4614

Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks

Enkelejd Hashorva·Dominik Kortschak

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Abstract

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandaypa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.

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Enkelejd Hashorva, Dominik Kortschak. 2014-01-18. Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks. https://doi.org/10.1016/j.spl.2014.01.018

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