Asymptotic expansions and hazard rates for compound and first-passage distributions

DOI10.3150/16-BEJ854zbMath1407.60048MaRDI QIDQ2405164

Ronald W. Butler

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1495505100

zbMATH Keywords

compound distributionsemi-Markov processSparre Andersen modelCramér-Lundberg approximationTauberian theoryDarboux's theoremIkehara-Wiener theoremfirst-passage distributionasymptotic hazard rateIkehara-Delange theorem

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Censored data models (62N01) Statistics of extreme values; tail inference (62G32) Limit theorems in probability theory (60F99)

Related Items (4)

Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes ⋮ Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions ⋮ Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions ⋮ Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions

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