Tail asymptotics of light-tailed Weibull-like sums

  1. Søren Asmussen
  2. Enkelejd Hashorva
  3. Patrick J. Laub
  4. Thomas Taimre

Abstract

 

TAIL ASYMPTOTICS OF LIGHT-TAILED WEIBULL-LIKE SUMS

We consider sums of n i.i.d. random variables with tailsclose to e xp{−x } for some > 1. Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg, and Resnick (1993) are discussed from the point of view of tails rather than of densities, using a some what differentangle, and supplemented with bounds, results on a random number N of terms, and simulation algorithms.

 

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Probability and Mathematical Statistics

37, z. 2, 2017

Pages from 235 to 256

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