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TAIL ASYMPTOTICS OF LIGHT-TAILED WEIBULL-LIKE SUMS

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  • Soren Asmussen
  • Enkelejd Hashorva, Univ Lausanne, Dept Actuarial Sci, UNIL Dorigny
  • ,
  • Patrick J. Laub, Univ Queensland, University of Queensland, Dept Math
  • ,
  • Thomas Taimre, Univ Queensland, University of Queensland, Dept Math

We consider sums of n i.i.d. random variables with tails close to exp{-x(beta)} for some beta > 1. Asymptotics developed by Rootzen (1987) and Balkema, Kluppelberg, and Resnick (1993) are discussed from the point of view of tails rather than of densities, using a somewhat different angle, and supplemented with bounds, results on a random number N of terms, and simulation algorithms.

OriginalsprogEngelsk
TidsskriftProbability and Mathematical Statistics
Vol/bind37
Nummer2
Sider (fra-til)235-256
Antal sider22
ISSN0208-4147
StatusUdgivet - 2017

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