Second order behaviour of the tail of a subordinated probability distribution
From MaRDI portal
Publication:1074211
DOI10.1016/0304-4149(86)90105-5zbMath0589.60012OpenAlexW2036263115MaRDI QIDQ1074211
Publication date: 1986
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(86)90105-5
Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)
Related Items (27)
Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities ⋮ The structure of the class of subexponential distributions ⋮ SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY ⋮ Tails of subordinated laws: The regularly varying case ⋮ Subexponential distribution functions in \(R^{d}\) ⋮ An asymptotic of high order moments of renewal ⋮ Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation ⋮ Risk concentration under second order regular variation ⋮ Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks ⋮ The generalized logarithmic series distribution ⋮ Intuitive approximations for the renewal function ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ Risk concentration and diversification: second-order properties ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Second-order asymptotics for the ruin probability in the case of very large claims ⋮ Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time ⋮ Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments ⋮ Second order tail behaviour of a subordinated probability distribution ⋮ Modeling large claims in non-life insurance ⋮ Second order subexponential distributions with finite mean and their applications to subordinated distributions ⋮ Higher-order expansions for compound distributions and ruin probabilities with subexponential claims ⋮ Second-order regular variation, convolution and the central limit theorem ⋮ The rate of convergence for subexponential distributions ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails ⋮ Approximation and estimation of some compound distributions ⋮ Second order behaviour of the tail of a subordinated probability distribution
Cites Work
- Unnamed Item
- Unnamed Item
- Second order behaviour of the tail of a subordinated probability distribution
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- On subordinated distributions and random record processes
- Regularly varying functions in the theory of simple branching processes
- Regular variation of the tail of a subordinated probability distribution
This page was built for publication: Second order behaviour of the tail of a subordinated probability distribution
