Abstract and Applied Analysis (Jan 2013)

A Note on the Tail Behavior of Randomly Weighted Sums with Convolution-Equivalently Distributed Random Variables

  • Yang Yang,
  • Jun-feng Liu,
  • Yu-lin Zhang

DOI
https://doi.org/10.1155/2013/273217
Journal volume & issue
Vol. 2013

Abstract

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We investigate the tailed asymptotic behavior of the randomly weighted sums with increments with convolution-equivalent distributions. Our obtained result can be directly applied to a discrete-time insurance risk model with insurance and financial risks and derive the asymptotics for the finite-time probability of the above risk model.