Second order subexponential distributions with finite mean and their applications to subordinated distributions
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Publication:715752
DOI10.1007/S10959-010-0330-7zbMATH Open1251.60014arXiv1011.3642OpenAlexW2019614454MaRDI QIDQ715752FDOQ715752
Publication date: 1 November 2012
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Abstract: Consider a probability distribution subordinate to a subexponential distribution with finite mean. In this paper, we discuss the second order tail behavior of the subordinated distribution within a rather general framework in which we do not require the existence of density functions. For this aim, the so-called second order subexponential distribution is proposed and some related properties of its are established. Our results unified and improved some classical results.
Full work available at URL: https://arxiv.org/abs/1011.3642
Recommendations
convergence rateheavy-tailed distributionsubexponential distributionsecond order tail behaviorsubordinated distribution
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Cited In (18)
- Subexponential densities of infinitely divisible distributions on the half-line
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Second-order subexponential behavior of subordinated sequences
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- Second-Order Asymptotic Behavior of Subexponential Infinitely Divisible Distributions
- Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
- Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims
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- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Some discussions on the local distribution classes
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