부산대학교 도서관

In this paper, we first establish a Kesten-type inequality for randomly weighted sums, in which the primary random variables are assumed to be real-valued and subexponential following a general dependence structure proposed by J. Geluk and Q. Tang [Asymptotic tail probabilities of sums of dependent subexponential random variables, J. Theor. Probab., 22(4):871–882, 2009], and the random weights are assumed to be nonnegative and arbitrarily dependent but independent of the primary random variables. The obtained result extends the work of Y. Chen [A Kesten-type bound for sums of randomly weighted subexponential random variables, Stat. Probab. Lett., 158:108661, 2020]. Then, as an application, we derive an asymptotic formula for finite-time ruin probability of a renewal risk model with constant force of interest and dependent by-claims.