Compound sums and subexponentiality

DOI10.2307/3318556zbMath0949.60032OpenAlexW1969478623MaRDI QIDQ1962611

Hanspeter Schmidli

Publication date: 3 December 2000

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1143122299

zbMATH Keywords

subexponential distributionmixed Poisson distributioncompound distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Queueing theory (aspects of probability theory) (60K25)

Related Items (11)

Renewal theory for random variables with a heavy tailed distribution and finite variance ⋮ Unnamed Item ⋮ Semi-heavy tails ⋮ Tails of random sums of a heavy-tailed number of light-tailed terms ⋮ Estimating tails of independently stopped random walks using concave approximations of hazard functions ⋮ Convolution equivalence and distributions of random sums ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications ⋮ Rates of convergence in the two-island and isolation-with-migration models ⋮ Sampling at subexponential times, with queueing applications ⋮ Asymptotics for Tail Probability of Random Sums with a Heavy-Tailed Number and Dependent Increments

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