Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution

DOI10.1239/JAP/1189717537MaRDI QIDQ5440641zbMATH OpenOpenAlexFDO

Authors Chenhua Zhang, Philippe Barbe, W. P. McCormick

Publication date 5 February 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1189717537

zbMATH Keywords

convolutionregular variationtail area approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Sums of independent random variables; random walks (60G50)

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Cited in

(8)

• An asymptotic expansion for the tail of compound sums of Burr distributed random variables
• Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
• Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
• Asymptotics for sums of random variables with local subexponential behaviour
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Second order corrections for the limits of normalized ruin times in the presence of heavy tails
• Error rates and improved algorithms for rare event simulation with heavy Weibull tails
• Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation

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