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

DOI10.1016/J.SPL.2009.12.018MaRDI QIDQ962019zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3474264 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• A Complex Rolle's Theorem
• 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
• Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Loss Models
• Multi-precision Laplace transform inversion
• On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
• On ruin probability and aggregate claim representations for Pareto claim size distributions
• On subordinated distributions and generalized renewal measures
• On the Sums of Independently Distributed Pareto Variates
• Second order tail behaviour of a subordinated probability distribution
• Tails of subordinated laws: The regularly varying case
• The rate of convergence for subexponential distributions

Cited in

(1)

• On the characteristic function for Burr distributions

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