18 Result(s)
within
Yuebao Wang
Mathematics
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Article
Closure under infinitely divisible distribution roots and the Embrechts–Goldie conjecture
We show that the distribution class ℒ(γ) \ 𝒪𝒮 is not closed under infinitely divisible distribution roots for γ > 0, that is, we provide some infinitely divisible distributions belonging to the class, whereas ...
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Open AccessDividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes
The optimal dividends problem has remained an active research field for decades. For an insurance company with reserve modelled by a spectrally negative Lévy process having finite first-order moment, we study ...
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Article
On the closure under infinitely divisible distribution roots
For some γ > 0, we show that the distribution class (ℒ(γ) ∩𝒪S)\S(γ) is not closed under infinitely divisible distribution roots, that is, we provide examples showing that some infinitely divisible distributions b...
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Article
On the long tail property of product convolution
Let X and Y be two independent random variables with corresponding distributions F and G on [0,∞). The distribution of the product XY , which is called the product convolution of F and G, is denoted by H. In this...
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An inequality of widely dependent random variables and its applications*
In this paper, we prove a more accurate inequality of widely dependent random variables. Based on this inequality, we obtain some limit theorems for widely dependent random variables, which expand ranges of do...
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Tail behavior of supremum of a random walk when Cramér’s condition fails
We investigate tail behavior of the supremum of a random walk in the case that Cramér’s condition fails, namely, the intermediate case and the heavy-tailed case. When the integrated distribution of the increme...
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Almost sure asymptotics for extremes of non-stationary Gaussian random fields
In this paper, the authors prove an almost sure limit theorem for the maxima of non-stationary Gaussian random fields under some mild conditions related to the covariance functions of the Gaussian fields. As t...
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On asymptotic equivalence among the solutions of some defective renewal equations
We obtain some sufficient conditions for mutually asymptotic equivalence among solutions of some defective renewal equations, where the related distributions can be heavy-tailed but are not required to be sube...
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Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a seq...
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Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
For a fixed integer n ≥ 2, let X 1 ,…, X n be independent random variables (r.v.s) with distributions F 1,…,F ...
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Article
Open AccessOn the exponential inequality for acceptable random variables
In this paper, we obtain some new exponential inequalities for partial sums and their finite maximum of acceptable random variables by the results of Sung et al. (J. Korean Stat. Soc., 40, 109-114, 2011) and i...
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Article
Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
This paper establishes some asymptotic formulas for the infinite-time ruin probabilities of two kinds of dependent risk models. One risk model considers the claim sizes as a modulated process, and the other de...
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Equivalent Conditions of Asymptotics for the Density of the Supremum of a Random Walk in the Intermediate Case
This paper obtains some equivalent conditions about the asymptotics for the density of the supremum of a random walk with light-tailed increments in the intermediate case. To do this, the paper first corrects ...
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Article
Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
In 2007, Chen and Ng investigated infinite-time ruin probability with constant interest force and negatively quadrant dependent and extended regularly varying-tailed claims. Following this work, the authors ob...
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Article
Hazard function and characterizations on distribution tails of nonnegative random variables
Some equivalent conditions on the classes of lighted-tailed and heavily heavy-tailed and lightly heavy-tailed d. f. s are introduced. The limit behavior of
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Article
Equivalent conditions of complete convergence for m-dimensional products of iid random variables and application to strong law of large numbers
Under very weak condition 0 × r(f) ↑ ∞, t→ ∞, we obtain a series of equivalent conditions of complete convergence for maxima of m-dimensional products of iid random variables, which provide a useful tool for r...
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Article
Equivalent conditions of complete convergence for independent weighted sums
For a very general weight function, the equivalent conditions of complete convergence for weighted sums of independent but not necessary identically distributed random variables are given. The previous situati...
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Article
Moment inequalities and weak convergence for negatively associated sequences
A probability inequality for Sn and somepth moment (p⩾2) inequalities for |Sn| and max 1⩽k⩽n | Sk| are established. Here Sn is the partial sum of a negatively associated sequence. Based on these inequalities, a w...
