Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154777 | Statistics & Probability Letters | 2014 | 8 Pages |
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-Nandayapa (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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Enkelejd Hashorva, Dominik Kortschak,