Estimates for distributions of sums of random variables with subexponential distributions.
zbMATH Open1126.62327MaRDI QIDQ5482007FDOQ5482007
Publication date: 24 August 2006
Full work available at URL: https://eudml.org/doc/53603
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sums of random variablessubexponential distributionlong-tailed distributionsupremum of a random walkintermediate regularly varying distribution
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)
Cited In (10)
- The tail behaviour of a random sum of subexponential random variables and vectors
- Two-sided bounds of random sums with subexponential summands
- Random sums of random variables and vectors: including infinite means and unequal length sums
- On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- Large deviations for random walks under subexponentiality: The big-jump domain
- Asymptotics of randomly stopped sums in the presence of heavy tails
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
- Multivariate subexponential distributions and random sums of random vectors
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