Second order tail behaviour of a subordinated probability distribution

DOI10.1016/0304-4149(92)90017-KzbMath0758.60012MaRDI QIDQ1190174

J. L. Geluk

Publication date: 27 September 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic relationships between the tails

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (10)

Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities ⋮ On a subclass of regularly varying functions ⋮ SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY ⋮ Tails of subordinated laws: The regularly varying case ⋮ Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments ⋮ An asymptotic expansion for the tail of compound sums of Burr distributed random variables ⋮ Second order subexponential distributions with finite mean and their applications to subordinated distributions ⋮ Higher-order expansions for compound distributions and ruin probabilities with subexponential claims

Cites Work

• Second order behaviour of the tail of a subordinated probability distribution
• On Interchanging Limits and Integrals
• Theory prob. appl.
• Subexponentiality and infinite divisibility
• On the Asymptotic Behavior of a Class of Infinitely Divisible Laws
• Regular variation of the tail of a subordinated probability distribution
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