Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory

Abstract

This article investigates the asymptotic tail probabilities of randomly weighted sums and their maximum of pairwise quasi upper-tail independent increments with non negative and arbitrarily dependent random weights. An application of the obtained results to risk theory is proposed.

Keywords:

• Uniform asymptotics
• Randomly weighted sums
• Quasi upper-tail independence
• Ruin probabilty

Mathematics Subject Classifications:

• Primary 62E20
• Secondary 62P05, 91B30