Closure properties of the second-order regular variation under convolutions

DOI10.1080/03610926.2014.985843MaRDI QIDQ2980046zbMATH OpenOpenAlexFDO

Authors Qing Liu, Tiantian Mao, Taizhong Hu

Publication date 27 April 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.985843

zbMATH Keywords

asymptoticsrandomly weighted sumregular variationsecond-order regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Approximation of the tail probability of randomly weighted sums and applications
• Asymptotic expansions of convolutions of regularly varying distributions
• Exact Rates of Convergence to a Stable Law
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• On Smooth Statistical Tail Functionals
• Properties of second-order regular variation and expansions for risk concentration
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Rates of convergence for bivariate extremes
• Regularly varying functions
• Risk concentration and diversification: second-order properties
• Second order regular variation and conditional tail expectation of multiple risks
• Second-order expansions of the risk concentration based on CTE
• Second-order properties of risk concentrations without the condition of asymptotic smoothness
• Second-order regular variation and rates of convergence in extreme-value theory
• Second-order regular variation, convolution and the central limit theorem
• Smoothing the Hill Estimator
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Tails of subordinated laws: The regularly varying case

Cited in

(10)

• Second-order regular variation, convolution and the central limit theorem
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Flexible multivariate Hill estimators
• The closure property of 2RV under random sum
• Second-order regular variation inherited from Laplace-Stieltjes transforms
• Properties of second-order regular variation and expansions for risk concentration
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Second-order conditions of regular variation and Drees-type inequalities
• THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
• Second-order regular variation and second-order approximation of Hawkes processes

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