| Autor: |
Hashorva, Enkelejd, Kortschak, Dominik |
| Rok vydání: |
2014 |
| Předmět: |
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| Zdroj: |
Statistics & Probability Letters, 87, 167-174 (2014) |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1016/j.spl.2014.01.018 |
| Popis: |
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-Nandaypa (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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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