Tails of the Moments for Sums with Dominatedly Varying Random Summands
Abstract
:1. Introduction
- Value-at-Risk (VaR) at level :
- Conditional tail expectation (CTE) at level :
2. Definitions and Preliminaries
2.1. Notational Conventions
- if
- if
- if
- if
- if
2.2. Heavy-Tailed Distributions
- A d.f. F supported on is said to be dominatedly varying (belong to class ) if for any (for some) .
- A d.f. F is said to be heavy-tailed (belong to class ) if for any
- A d.f. F is said to be long tailed (belong to class ) if for any .
- A d.f. F supported on is said to be subexponential (belong to class ) if and
- A d.f. F is said to be regularly varying with coefficient (belong to class ) if for any
- A d.f. F is said to be consistently varying (belong to class ) if
2.3. QAI Dependence Structure
- R.v.s with infinite right supports are called pairwise quasi-asymptotically independent (pQAI) if for any , ,
3. Related Results
3.1. Asymptotics of Tail Probabilities
- R.v.s with infinite right supports are called pairwise strongly quasi-asymptotically independent (pSQAI) if for any , ,
- R.v.s with infinite right supports are called pairwise tail quasi-asyptotically independent (pTQAI) if for any , ,
- R.v.s with infinite right supports are called pairwise asymptotically independent (pAI) if for any , ,
3.2. Asymptotics of Tail Expectations
4. Main Results
5. Proofs of Main Results
6. Examples
6.1. Sampling Procedure
- G.i.f. of the Pareto d.f. Consider the regularly varying Pareto d.f. F with parameters , i.e.,
- G.i.f. of the Peter and Paul d.f. Recall that Peter and Paul distribution with parameters , , is defined by the following d.f.
- G.i.f. of d.f. of the Cai–Tang (5) distribution. In Section 2.2, we show that the d.f. of the r.v. with independent and geometric N with parameter , is the following
- Algorithm. Generation of samples from a bivariate distribution characterised by marginal d.f.s , and copula .
- Inverse conditional distribution of bivariate FGM copula.
6.2. Analytic Expressions of Individual Summands’ Tail Expectations
- Truncated expectation of the Pareto distribution. Let us consider r.v. having the Pareto distribution with parameters presented in Equation (39). If , then it is obvious that
- Truncated expectation and L-index of Peter and Paul distribution. If r.v. has the generalised Peter and Paul distribution (40) with parameters , , then
6.3. Simulation Procedure and Results
- Under the conditions of Example 3, we get from Theorem 3 that
- The conditions of Example 4 and Theorem 3 imply that
- Under the conditions of Example 5, Theorem 3 implies that can be approximated by sum
7. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
References
- Chen, Y. A renewal shot noise process with subexponential shot marks. Risks 2019, 7, 63. [Google Scholar] [CrossRef] [Green Version]
- Chen, Y.; Yuen, K.C. Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Stoch. Models 2009, 25, 76–89. [Google Scholar] [CrossRef]
- Cheng, D. Randomly weighted sums of dependent random variables with dominated variation. J. Math. Anal. Appl. 2014, 420, 1617–1633. [Google Scholar] [CrossRef]
- Geluk, J.; Tang, Q. Asymptotic tail probabilities of sums of dependent subexponential random variables. J. Theoret. Probab. 2009, 22, 871–882. [Google Scholar] [CrossRef] [Green Version]
- Goovaerts, M.J.; Kaas, R.; Laeven, R.J.A.; Tang, Q.; Vernic, R. The tail probability of discounted sums of Pareto-like losses in insurance. Scand. Actuar. J. 2005, 2005, 446–461. [Google Scholar] [CrossRef]
- Jaunė, E.; Ragulina, O.; Šiaulys, J. Expectation of the truncated randomly weighted sums with dominatedly varying summands. Lith. Math. J. 2018, 58, 421–440. [Google Scholar] [CrossRef]
- Leipus, R.; Šiaulys, J.; Vareikaitė, I. Tails of higher-order moments with dominatedly varying summands. Lith. Math. J. 2019, 59, 389–407. [Google Scholar] [CrossRef]
- Tang, Q.; Tsitsiashvili, G. Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Stoch. Process. Appl. 2003, 108, 299–325. [Google Scholar] [CrossRef]
- Wang, D.; Su, C.; Zeng, Y. Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory. Sci. China Ser. A 2005, 48, 1379–1394. [Google Scholar] [CrossRef]
- Wang, D.; Tang, Q. Tail probabilities of randomly weighted sums of random variables with dominated variation. Stoch. Models 2006, 22, 253–272. [Google Scholar] [CrossRef]
- Yi, L.; Chen, Y.; Su, C. Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation. J. Math. Anal. Appl. 2011, 376, 365–372. [Google Scholar] [CrossRef] [Green Version]
- Yang, Y.; Ignatavičiūtė, E.; Šiaulys, J. Conditional tail expectation of randomly weighted sums with heavy-tailed distributions. Stat. Probab. Lett. 2015, 105, 20–28. [Google Scholar] [CrossRef]
- Fougeres, A.L.; Mercadier, C. Risk measures and multivariate extensions of Breiman’s theorem. J. Appl. Probab. 2012, 49, 364–384. [Google Scholar] [CrossRef] [Green Version]
- Nyrhinen, H. On the ruin probabilities in a general economic environment. Stoch. Process. Appl. 1999, 83, 319–330. [Google Scholar] [CrossRef] [Green Version]
- Tang, Q.; Yuan, Z. Randomly weighted sums of subexponential random variables with application to capital allocation. Extremes 2014, 17, 467–493. [Google Scholar] [CrossRef]
- Wang, S.; Chen, C.; Wang, X. Some novel results on pairwise quasi-asymptotical independence with applications to risk theory. Comm. Stat. Theory Methods 2017, 46, 9075–9085. [Google Scholar] [CrossRef]
- Verrall, R.J. The individual risk model: A compound distribution. J. Inst. Actuaries 1989, 116, 101–107. [Google Scholar] [CrossRef] [Green Version]
- Dhaene, J.; Goovaerts, M.J. On the dependency of risks in the individual life model. Insur. Math. Econom. 1997, 19, 243–253. [Google Scholar] [CrossRef]
- Dickson, D.C.M. Insurance Risk and Ruin; Cambridge University Press: Cambridge, UK, 2005. [Google Scholar]
- Acerbi, C. Spectral measures of risks: A coherent representation of subjective risk aversion. J. Bank. Financ. 2002, 26, 1505–1518. [Google Scholar] [CrossRef] [Green Version]
- Artzner, P.; Delbaen, F.; Eber, J.M.; Heath, D. Coherent measures of risk. Math. Financ. 1999, 9, 203–228. [Google Scholar] [CrossRef]
- Asimit, A.V.; Furman, E.; Tang, Q.; Vernic, R. Asymptotics for risk capital allocations based on conditional tail expectation. Insur. Math. Econom. 2011, 49, 310–324. [Google Scholar] [CrossRef] [Green Version]
- Hua, L.; Joe, H. Strength of tail dependence based on conditional tail expectation. J. Multivar. Anal. 2014, 123, 143–159. [Google Scholar] [CrossRef]
- Wang, S.; Hu, Y.; Yang, L.; Wang, W. Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation. Commun. Stat. Theory Methods 2018, 47, 5054–5063. [Google Scholar] [CrossRef]
- Goldie, C.M. Subexponential distributions and dominated-variation tails. J. Appl. Probab. 1978, 15, 440–442. [Google Scholar] [CrossRef]
- Cai, J.; Tang, Q. On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications. J. Appl. Probab. 2004, 41, 117–130. [Google Scholar] [CrossRef]
- Cline, D.B.H.; Samorodnitsky, G. Subexponentiality of the product of independent random variables. Stoch. Process. Appl. 1994, 49, 75–98. [Google Scholar] [CrossRef] [Green Version]
- Embrechts, P.; Goldie, C.M. On closure and factorization properties of subexponential and related distributions. J. Austral. Math. Soc. Ser. A 1980, 29, 243–256. [Google Scholar] [CrossRef] [Green Version]
- Embrechts, P.; Omey, E. A property of longtailed distributions. J. Appl. Probab. 1984, 21, 80–87. [Google Scholar] [CrossRef]
- Foss, S.; Korshunov, D.; Zachary, S. An Introduction to Heavy-Tailed and Subexponential Distributions, 2nd ed.; Springer: New York, NY, USA, 2013. [Google Scholar]
- Konstantinides, D.G. Risk Theory. A Heavy Tail Approach; World Scientific Publishing: Singapore, 2018. [Google Scholar]
- Pitman, E.J.G. Subexponential distribution functions. J. Austral. Math. Soc. Ser. A 1980, 29, 337–347. [Google Scholar] [CrossRef]
- Wang, Y.B.; Wang, K.Y.; Cheng, D.Y. Precise large deviations for sums of negatively associated random variables with common dominatedly varying tails. Acta Math. Sin. (Engl. Ser.) 2006, 22, 1725–1734. [Google Scholar] [CrossRef]
- Yang, Y.; Wang, Y. Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims. Statist. Probab. Lett. 2010, 80, 143–154. [Google Scholar] [CrossRef]
- Matuszewska, W. On a generalization of regularly increasing functions. Studia Math. 1964, 24, 271–279. [Google Scholar] [CrossRef] [Green Version]
- Bingham, N.H.; Goldie, C.M.; Teugels, J.L. Regular Variation; Cambridge University Press: Cambridge, UK, 1987. [Google Scholar]
- Sklar, M. Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Stat. Univ. Paris 1959, 8, 229–231. [Google Scholar]
- Nelsen, R.B. An introduction to Copulas, 2nd ed.; Springer: New York, NY, USA, 2006. [Google Scholar]
- Kotz, S.; Balakrishnan, N.; Johnson, N.L. Continuous Multivariate Distributions, 2nd ed.; John Wiley and Sons: New York, NY, USA, 2000; Volume 1. [Google Scholar]
- Ali, M.M.; Mikhail, N.N.; Haq, M.S. A class of bivariate distributions including the bivariate logistic. J. Multivar. Anal. 1978, 8, 405–412. [Google Scholar] [CrossRef] [Green Version]
- Albrecher, H.; Asmussen, S.; Kortschak, D. Tail asymptotics for the sum of two heavy-tailed dependent risks. Extremes 2006, 9, 107–130. [Google Scholar] [CrossRef]
- Fang, H.; Ding, S.; Li, X.; Yang, W. Asymptotic approximations of ratio moments based on dependent sequences. Mathematics 2020, 8, 361. [Google Scholar] [CrossRef] [Green Version]
- Yang, H.; Gao, W.; Li, J. Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks. Scand. Actuar. J. 2016, 2016, 1–17. [Google Scholar] [CrossRef]
- Li, J. On pairwise quasi-asymptotically independent random variables and their applications. Stat. Probab. Lett. 2013, 83, 2081–2087. [Google Scholar] [CrossRef]
- Embrechts, P.; Hofert, M. A note on generalized inverses. Math. Methods Oper. Res. (Heidelb) 2013, 77, 423–432. [Google Scholar] [CrossRef] [Green Version]
- Rosenblatt, M. Remarks on a multivariate transformation. Ann. Math. Stat. 1952, 23, 470–472. [Google Scholar] [CrossRef]
- Brockwell, A.E. Universal residuals: A multivariate transformation. Stat. Probab. Lett. 2007, 77, 1473–1478. [Google Scholar] [CrossRef] [PubMed] [Green Version]
- R Core Team. R: A Language and Environment for Statistical Computing; R Foundation for Statistical Computing: Vienna, Austria, 2018; Available online: https://www.R-project.org/ (accessed on 15 December 2020).
- Izrailev, S. Tictoc: Functions for Timing R Scripts, as Well as Implementations of Stack and List Structures. R Package Version 1.0. 2014. Available online: https://CRAN.R-project.org/package=tictoc (accessed on 23 December 2020).
- Sharpsteen, C.; Bracken, C. tikzDevice: R Graphics Output in LaTeX Format. R Package Version 0.12.3.1. 2020. Available online: https://CRAN.R-project.org/package=tikzDevice (accessed on 9 January 2021).
- Vaughan, D.; Dancho, M. Furrr: Apply Mapping Functions in Parallel Using Futures. R Package Version 0.1.0. 2018. Available online: https://CRAN.R-project.org/package=furrr (accessed on 17 January 2021).
- Wickham, H.; Averick, M.; Bryan, J.; Chang, W.; McGowan, L.D.; François, R.; Grolemund, G.; Hayes, A.; Henry, L.; Hester, J.; et al. Welcome to the tidyverse. J. Open Source Softw. 2019, 4, 1686. [Google Scholar] [CrossRef]
Publisher’s Note: MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations. |
© 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
Share and Cite
Dirma, M.; Paukštys, S.; Šiaulys, J. Tails of the Moments for Sums with Dominatedly Varying Random Summands. Mathematics 2021, 9, 824. https://doi.org/10.3390/math9080824
Dirma M, Paukštys S, Šiaulys J. Tails of the Moments for Sums with Dominatedly Varying Random Summands. Mathematics. 2021; 9(8):824. https://doi.org/10.3390/math9080824
Chicago/Turabian StyleDirma, Mantas, Saulius Paukštys, and Jonas Šiaulys. 2021. "Tails of the Moments for Sums with Dominatedly Varying Random Summands" Mathematics 9, no. 8: 824. https://doi.org/10.3390/math9080824
APA StyleDirma, M., Paukštys, S., & Šiaulys, J. (2021). Tails of the Moments for Sums with Dominatedly Varying Random Summands. Mathematics, 9(8), 824. https://doi.org/10.3390/math9080824