7 citations · 17 across the 17 of their papers we have counts for
17 papers
Asymptotics of randomly weighted sums without moment conditions of random weights
Qingwu Gao, Dimitrios G. Konstantinides, Charalampos D. Passalidis +2
In the paper, we investigate the asymptotics of randomly weighted sums with upper tail asymptotically independent and quasi-upper tail asymptotically independent primary random var…
On the random-time and finite-time ruin probability for widely dependent claim sizes and inter-arrival times
Yang Chen, Zhaolei Cui, Yuebao Wang
Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probabil…
A Breiman's theorem for conditional dependent random vector and its applications to risk theory
Zhaolei Cui, Yuebao Wang
In this paper, we give a Breiman's theorem for conditional dependent random vector, where one component has a regularly-varying-tailed distribution with the index and its s…
Precise large deviations of some risk objectives related to the net loss process in two nonstandard risk models
Yang Chen, Zhaolei Cui, Yuebao Wang
For two nonstandard renewal risk models, we investigate the precise large deviations of the finite-time ruin probability and a random sum of the net-loss process, and the asymptoti…
Precise large deviations of sums of widely dependent random variables and its applications
Zhaolei Cui, Yuebao Wang
In this paper, we obtain some results on precise large deviations for non-random and random sums of widely dependent random variables with common dominatedly varying tail distribut…
On the long tail property of product convolution
Zhaolei Cui, Guancheng Jiang, Yuebao Wang
Let and be two independent random variables with corresponding distributions and supported on . The distribution of the product , which is called th…
On the almost decrease of a subexponential density
Tao Jiang, Yuebao Wang, Zhaolei Cui
For a subexponential density, so far, there has been no positive conclusion or counter example to show whether it is almost decreasing. In this paper, a subexponential density supp…
Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative Lévy Risk Processes
Wenyuan Wang, Yuebao Wang, Xueyuan Wu
For an insurance company with reserve modeled by the spectrally negative Lévy process, we study the optimal impulse dividend maximizing the expected accumulated net dividend paymen…
Asymptotics of convolution with the semi-regular-variation tail and its application to risk
Zhaolei Cui, Edward Omey, Wenyuan Wang +1
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed…
The uniform local asymptotics of the total net loss process in a new time-dependent bidimensional renewal model
Tao Jiang, Yuebao Wang, Hui Xu
In this paper, we consider a bidimensional renewal risk model with constant force of interest, in which the claim size vector with certain local subexponential marginal distributio…
Some positive conclusions related to the Embrechts-Goldie' conjecture
Yuebao Wang, Zhaolei Cui, Hui Xu
In this paper, we give some conditions, under which, if an infinitely divisible distribution supported on belongs to the intersection of exponential distribution class…
A necessary and sufficient condition for the subexponentiality of product distribution
Hui Xu, Fengyang Cheng, Yuebao Wang +1
Let X and Y be two independent and nonnegative random variables with corresponding distributions F and G. Denote by H the distribution of the product XY , called the product convol…
On closedness under convolution roots related to an infinitely divisible distribution in the distribution class L(γ)
Hui Xu, Yuebao Wang, Dongya Cheng +1
We consider questions related to the well-known conjecture due to Embrechts and Goldie on the closedness of different classes of heavy- and light-tailed distributions with respect…
Convolution and convolution-root properties of long-tailed distributions
Hui Xu, Sergey Foss, Yuebao Wang
We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be app…
On a transformation between distributions obeying the principle of a single big jump
Hui Xu, Michael Scheutzow, Yuebao Wang
Beck et al. (2013) introduced a new distribution class J which contains many heavy-tailed and light-tailed distributions obeying the principle of a single big jump. Using a simple…
The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
Yuebao Wang, Hui Xu, Dongya Cheng +1
In this paper, the local asymptotic estimation for the supremum of a random walk and its applications are presented. The summands of the random walk have common long-tailed and gen…
On the structure of a class of distributions obeying the principle of a single big jump
Hui Xu, Michael Scheutzow, Yuebao Wang +1
In this paper, we present several heavy-tailed distributions belonging to the new class J of distributions obeying the principle of a single big jump introduced by Beck et al. [1].…