Series expansions for convolutions of Pareto distributions

DOI10.1515/STRM-2014-1168MaRDI QIDQ2340428zbMATH OpenOpenAlexFDO

Authors Q. H. Nguyen, C. Y. Robert

Publication date 17 April 2015

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2014-1168

zbMATH Keywords

convolutionsPareto distributionsrisk measuresseries expansions

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99)

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(9)

• On the tail behaviour of aggregated random variables
• Ferromagnetic transition in a simple variant of the Ising model on multiplex networks
• Chaos expansion and asymptotic behavior of the Pareto distribution
• Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
• On sums of independent generalized Pareto random variables with applications to insurance and cat bonds
• Asymptotic expansions of convolutions of regularly varying distributions
• Cyber risk modeling: a discrete multivariate count process approach
• Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
• An asymptotic expansion for the tail of compound sums of Burr distributed random variables

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