Tail asymptotics of light-tailed Weibull-like sums

zbMath1395.62031arXiv1712.04070MaRDI QIDQ4578296

Patrick J. Laub, Thomas Taimre, Soren Asmussen, Enkelejd Hashorva

Publication date: 8 August 2018

Full work available at URL: https://arxiv.org/abs/1712.04070

zbMATH Keywords

Laplace transformWeibull distributionrare-event simulationGumbel MDAsums of of random variables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Large deviations (60F10)

Related Items (7)

Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Branching random walk with infinite progeny mean: a tale of two tails ⋮ Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend ⋮ Technical Note—The Joint Impact ofF-Divergences and Reference Models on the Contents of Uncertainty Sets ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Extremal dependence of random scale constructions

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