Asymptotic behavior of product of two heavy-tailed dependent random variables

Citation
Ranjbar, Vahid et al., Asymptotic behavior of product of two heavy-tailed dependent random variables, Acta mathematica Sinica. English series (Print) , 29(2), 2013, pp. 355-364
ISSN journal
14398516
Volume
29
Issue
2
Year of publication
2013
Pages
355 - 364
Database
ACNP
SICI code
Abstract
Let X and Y be positive weakly negatively dependent (WND) random variables with finite expectations and continuous distribution functions F and G with heavy tails, respectively. The asymptotic behavior of the tail of distribution of XY is studied and some closure properties under some suitable conditions on F.(x) = 1.F(x) and G.(x) = 1.G(x) are provided. Moreover, subexponentiality of XY when X and Y are WND random variables is derived.