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Uniform estimate for maximum of randomly weighted sums with applications to ruin theory. (English) Zbl 1177.60026

Summary: This paper obtains the uniform estimate for maximum of sums of upper-tail independent and heavy-tailed random variables with nonnegative dependent random weights. Then the applications to ruin probabilities in a discrete time risk model with dependent gross losses and dependent stochastic returns are considered.

MSC:

60E15 Inequalities; stochastic orderings
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