Probability and Risk ModelsRisk and Portfolio OptimizationStochastic processes and financial applications
DOI: 10.1080/17442508.2026.2635120

Abstract

In this paper, we derive a second-order asymptotic formula for the tail probability of a randomly weighted sum, where the primary random variables follow second-order subexponential distributions and exhibit a multivariate Farlie-Gumbel-Morgenstern dependence structure. This result significantly improves existing first-order asymptotic results. Simulation studies are conducted to assess the accuracy of our asymptotic formula, demonstrating its improvement over first-order counterparts. As an application, we investigate a nonstandard continuous-time risk model with a constant force of interest and establish the second-order asymptotics of the discounted aggregate claims.

Citation format

WANG, Shijie; MA, Xujie; GENG, Bingzhen. Second-order asymptotics for randomly weighted sums of dependent subexponential random variables with applications to insurance. Stochastics-An International Journal of Probability and Stochastic Processes, 2026: 1–23.