The tail behaviour of a random sum of subexponential random variables and vectors

DOI10.1007/s10687-007-0033-3zbMath1150.60029OpenAlexW2053462892MaRDI QIDQ928490

Rein Vesilo, Edward Omey, Daryl J. Daley

Publication date: 18 June 2008

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0033-3

zbMATH Keywords

Matusewska indexnonnegative stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70)

Related Items (10)

Randomly stopped sums of not identically distributed heavy tailed random variables ⋮ On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms ⋮ On the random max-closure for heavy-tailed random variables ⋮ Convolution and convolution-root properties of long-tailed distributions ⋮ Asymptotics of randomly stopped sums in the presence of heavy tails ⋮ RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL ⋮ Asymptotics for Weighted Random Sums ⋮ Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation ⋮ Random sums of random variables and vectors: including infinite means and unequal length sums ⋮ On the number of renewals in random time

Cites Work

• On the bell-shape of stable densities
• Modeling teletraffic arrivals by a Poisson cluster process
• Subexponential distribution functions in \(R^{d}\)
• Multivariate subexponential distributions
• The rate of convergence for subexponential distributions
• Large deviations of heavy-tailed sums with applications in insurance
• Rates in approximations to ruin probabilities for heavy-tailed distributions
• The rate of convergence for subexponential distributions and densities
• Weighted renewal functions: a hierarchical approach
• Multivariate subexponential distributions and random sums of random vectors
• Hazard rates and subexponential distributions
• Some Limit Theorems for Generalized Renewal Measures
• Regular variation of the tail of a subordinated probability distribution
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: The tail behaviour of a random sum of subexponential random variables and vectors