An asymptotic expansion for the tail of compound sums of Burr distributed random variables

DOI10.1016/J.SPL.2009.12.018zbMATH Open1185.62039OpenAlexW1992936161MaRDI QIDQ962019FDOQ962019

Authors: Dominik Kortschak, Hansjörg Albrecher 

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/notice/serval:BIB_E6C5832D5880

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Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Laplace transform (44A10)

Cites Work

• Multi-precision Laplace transform inversion
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• Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
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• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Asymptotic expansions of convolutions of regularly varying distributions
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• Second order tail behaviour of a subordinated probability distribution
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• On ruin probability and aggregate claim representations for Pareto claim size distributions
• Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution

Cited In (1)

• On the characteristic function for Burr distributions

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