Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
From MaRDI portal
(Redirected from Publication:892484)
Abstract: A perturbative approach is used to derive approximations of arbitrary order to estimate high percentiles of sums of positive independent random variables that exhibit heavy tails. Closed-form expressions for the successive approximations are obtained both when the number of terms in the sum is deterministic and when it is random. The zeroth order approximation is the percentile of the maximum term in the sum. Higher orders in the perturbative series involve the right-truncated moments of the individual random variables that appear in the sum. These censored moments are always finite. As a result, and in contrast to previous approximations proposed in the literature, the perturbative series has the same form regardless of whether these random variables have a finite mean or not. The accuracy of the approximations is illustrated for a variety of distributions and a wide range of parameters. The quality of the estimate improves as more terms are included in the perturbative series, specially for higher percentiles and heavier tails.
Recommendations
- Maxima of Sums of Heavy-Tailed Random Variables
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks
- High level quantile approximations of sums of risks
- Series expansions for convolutions of Pareto distributions
- Large deviations for sums of independent heavy-tailed random variables
Cites work
- scientific article; zbMATH DE number 1253576 (Why is no real title available?)
- scientific article; zbMATH DE number 1301871 (Why is no real title available?)
- scientific article; zbMATH DE number 1301888 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2172354 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 5204924 (Why is no real title available?)
- scientific article; zbMATH DE number 3322619 (Why is no real title available?)
- scientific article; zbMATH DE number 3378339 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A review of results on sums of random variables
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Applied Probability and Queues
- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Asymptotic expansions of convolutions of regularly varying distributions
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Extreme-value analysis of teletraffic data
- Heavy-Tail Phenomena
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
- Improved algorithms for rare event simulation with heavy tails
- Modeling teletraffic arrivals by a Poisson cluster process
- On subordinated distributions and generalized renewal measures
- On the Sums of Independently Distributed Pareto Variates
- Operational Risk
- Rare events simulation for heavy-tailed distributions
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- Second order behaviour of the tail of a subordinated probability distribution
- The distribution of sums, products and ratios for Lawrance and Lewis's bivariate exponential random variables
- Theory prob. appl.
This page was built for publication: Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q892484)
