Second order subexponential distributions with finite mean and their applications to subordinated distributions

DOI10.1007/S10959-010-0330-7zbMath1251.60014arXiv1011.3642OpenAlexW2019614454MaRDI QIDQ715752

Jianxi Lin

Publication date: 1 November 2012

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3642

zbMATH Keywords

convergence rateheavy-tailed distributionsubexponential distributionsecond order tail behaviorsubordinated distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (14)

Subexponential densities of infinitely divisible distributions on the half-line ⋮ Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities ⋮ Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims ⋮ Some discussions on the local distribution classes ⋮ Second-order properties of risk concentrations without the condition of asymptotic smoothness ⋮ Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples ⋮ On the almost decrease of a subexponential density ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

Cites Work

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• The rate of convergence for subexponential distributions and densities
• Tails of subordinated laws: The regularly varying case
• Hazard rates and subexponential distributions
• Theory prob. appl.
• Subexponential distributions and integrated tails
• Second Order Behaviour of Ruin Probabilities

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