The closure property of 2RV under random sum

DOI10.1016/J.SPL.2014.05.023MaRDI QIDQ2251702zbMATH OpenOpenAlexFDO

Authors Xuan Leng, Taizhong Hu

Publication date 15 July 2014

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

Full work available at URL https://doi.org/10.1016/j.spl.2014.05.023

zbMATH Keywords

random sumsecond-order regular variationage-dependent branching processCramér-Lundberg model

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 29935 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3410334 (Why is no real title available?)
• scientific article; zbMATH DE number 3190745 (Why is no real title available?)
• Closure properties of the second-order regular variation under convolutions
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• On the tails of waiting-time distributions
• Preservation of some life length classes for age distributions associated with age-dependent branching processes
• Second order regular variation and conditional tail expectation of multiple risks
• Second-order expansions of the risk concentration based on CTE
• Second-order properties of risk concentrations without the condition of asymptotic smoothness
• Second-order regular variation, convolution and the central limit theorem
• Tails of subordinated laws: The regularly varying case

Cited in

(2)

• Closure properties of the second-order regular variation under convolutions
• On closure of the IFR(2) and NBU(2) classes

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