Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
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Publication:2657983
DOI10.1016/j.spl.2020.108998zbMath1460.91298OpenAlexW3107760958MaRDI QIDQ2657983
Jonas Šiaulys, Remigijus Leipus, Saulius Paukštys
Publication date: 18 March 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2020.108998
heavy tailssum of random variablesasymptotic independenceHaezendonck-Goovaerts risk measuredominatedly varying distributiontail moment
Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70)
Related Items (4)
A note on product-convolution for generalized subexponential distributions ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
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