Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
From MaRDI portal
Publication:5440641
DOI10.1239/jap/1189717537zbMath1145.62011OpenAlexW2064142180MaRDI QIDQ5440641
Chenhua Zhang, Philippe Barbe, William 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
Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)
Related Items
Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation, Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims, An asymptotic expansion for the tail of compound sums of Burr distributed random variables, Error rates and improved algorithms for rare event simulation with heavy Weibull tails, 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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Extreme value theory for moving average processes
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- On convolution tails
- The class of subexponential distributions
- On subordinated distributions and generalized renewal measures
- Rates in approximations to ruin probabilities for heavy-tailed distributions
- The mean residual life function at great age: Applications to tail estimation
- Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics
- The Formula of FAA Di Bruno
- Theory prob. appl.
- On the tails of waiting-time distributions
- Subexponentiality and infinite divisibility
- Asymptotic expansions of convolutions of regularly varying distributions