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T1 - Asymptotics of Randomly Weighted Sums of Heavy-Tailed Random Variables
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UR - URN:NBN:fi:hulib-202011254601; http://hdl.handle.net/10138/321917
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A1 - PyrylĂ¤, Atte
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PB - Helsingin yliopisto
Y1 - 2020
LA - eng
AB - In this thesis we will look at the asymptotic approach to modeling randomly weighted heavy-tailed random variables and their sums. The heavy-tailed distributions, named after the defining property of having more probability mass in the tail than any exponential distribution and thereby being heavy, are essentially a way to have a large tail risk present in a model in a realistic manner. The weighted sums of random variables are a versatile basic structure that can be adapted to model anything fr...
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KW - Asymptotics; Randomly weighted sum; Risk modeling; Subexponential distribution; none; Sovellettu matematiikka; Applied Mathematics; TillĂ¤mpad matematik; Matematiikan ja tilastotieteen maisteriohjelma; Master's Programme in Mathematics and Statistics; Magisterprogrammet i matematik och statistik
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