An asymptotic expansion for the tail of compound sums of Burr distributed random variables

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serval:BIB_E6C5832D5880
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
An asymptotic expansion for the tail of compound sums of Burr distributed random variables
Journal
Statistics and Probability Letters
Author(s)
Kortschak D., Albrecher H.
ISSN
0167-7152
Publication state
Published
Issued date
2010
Peer-reviewed
Oui
Volume
80
Number
7-8
Pages
612-620
Language
english
Abstract
In this paper we show that it is possible to write the Laplace transform of the Burr distribution as the sum of four series. This representation is then used to provide a complete asymptotic expansion of the tail of the compound sum of Burr distributed random variables. Furthermore it is shown that if the number of summands is fixed, this asymptotic expansion is actually a series expansion if evaluated at sufficiently large arguments.
Web of science
Open Access
Yes
Create date
31/08/2009 13:31
Last modification date
20/08/2019 17:09
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