Article ID Journal Published Year Pages File Type
1154777 Statistics & Probability Letters 2014 8 Pages PDF
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
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