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arXiv · 1405.0593

Tail asymptotics of randomly weighted large risks

Alexandru V. Asimit·Enkelejd Hashorva·Dominik Kortschak
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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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Alexandru V. Asimit, Enkelejd Hashorva, Dominik Kortschak. 2014-05-03. Tail asymptotics of randomly weighted large risks. https://arxiv.org/abs/1405.0593

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