Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution

DOI10.1239/jap/1189717537zbMath1145.62011OpenAlexW2064142180MaRDI QIDQ5440641

Chenhua Zhang, Philippe Barbe, William P. McCormick

Publication date: 5 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1189717537

zbMATH Keywords

convolutionregular variationtail area approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Related Items (6)

Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ An asymptotic expansion for the tail of compound sums of Burr distributed random variables ⋮ Error rates and improved algorithms for rare event simulation with heavy Weibull tails ⋮ Higher-order expansions for compound distributions and ruin probabilities with subexponential claims ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails

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