Tails of subordinated laws: The regularly varying case

DOI10.1016/0304-4149(95)00070-4zbMath0849.60014OpenAlexW2088200049WikidataQ127395925 ScholiaQ127395925MaRDI QIDQ1915829

J. L. Geluk

Publication date: 7 November 1996

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

Full work available at URL: http://repub.eur.nl/pub/68992

zbMATH Keywords

branching processesconvolutionregular variationsubexponential distributions

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Distribution theory (60E99)

Related Items (12)

Closure properties of the second-order regular variation under convolutions ⋮ Second-order properties of risk concentrations without the condition of asymptotic smoothness ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments ⋮ The closure property of 2RV under random sum ⋮ An asymptotic expansion for the tail of compound sums of Burr distributed random variables ⋮ Extending statistics of extremes to distributions varying in position and scale and the implications for race models ⋮ 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 ⋮ Second-order regular variation, convolution and the central limit theorem ⋮ The rate of convergence for subexponential distributions

Cites Work

• Second order behaviour of the tail of a subordinated probability distribution
• Second order tail behaviour of a subordinated probability distribution
• The class of subexponential distributions
• Theory prob. appl.
• On the tails of waiting-time distributions
• Subexponentiality and infinite divisibility
• Asymptotic behaviour of the convolution tail of distributions each having a first or second order regularly varying tail
• Regular variation of the tail of a subordinated probability distribution
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