Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications

Ph. Barbe · William P. McCormick

34 citations0/0 files storedMemoirs of the American Mathematical Society

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Probability and Risk Models Probability and Statistical Research Approximation Theory and Sequence Spaces

Abstract

some asymptotic expansions for infinite weighted convolution of distributions having regular varying tails. Various applica-60F99. Secondary: ��asymptotic expansion, regular variation, convolution, tail area approximation, ARMA models, tail estimation, randomly stopped sums, infinitely divisible distributions, renewal theory.

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References

1997Modelling Extremal Events 1987Extreme Values, Regular Variation and Point Processes 1999Stochastic Processes for Insurance and Finance 1979Subexponentiality and infinite divisibility 2001Lundberg Approximations for Compound Distributions with Insurance Applications 1975On the tails of waiting-time distributions 1996Practical analysis of extreme values 1997Asymptotics for M/G/1 low-priority waiting-time tail probabilities

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