Estimates for distributions of sums of random variables with subexponential distributions.

MaRDI QIDQ5482007zbMATH OpenFDO

Authors V. Shneer

Publication date 24 August 2006

Full work available at URL https://eudml.org/doc/53603, http://www.emis.de/journals/SMZ/2004/06/1401.htm

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zbMATH Keywords

sums of random variablessubexponential distributionlong-tailed distributionsupremum of a random walkintermediate regularly varying distribution

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05)

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Cited in

(16)

• Lower limits and upper limits for tails of random sums supported on R
• On lower limits and equivalences for distribution tails of randomly stopped sums
• Lower Limits for Distribution Tails of Randomly Stopped Sums
• Estimates for interval probabilities of the sums of random variables with locally subexponential distributions
• The tail behaviour of a random sum of subexponential random variables and vectors
• Two-sided bounds of random sums with subexponential summands
• Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
• 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
• Estimating tails of independently stopped random walks using concave approximations of hazard functions
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• Discrete and continuous time modulated random walks with heavy-tailed increments
• Multivariate subexponential distributions and random sums of random vectors

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