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

DOI10.1239/JAP/1189717537zbMATH Open1145.62011OpenAlexW2064142180MaRDI QIDQ5440641FDOQ5440641

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

Recommendations

• Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Asymptotics for sums of random variables with local subexponential behaviour
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• Estimates for distributions of sums of random variables with subexponential distributions.

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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