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

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Etat: Public
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ID Serval
serval:BIB_E6C5832D5880
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
An asymptotic expansion for the tail of compound sums of Burr distributed random variables
Périodique
Statistics and Probability Letters
Auteur⸱e⸱s
Kortschak D., Albrecher H.
ISSN
0167-7152
Statut éditorial
Publié
Date de publication
2010
Peer-reviewed
Oui
Volume
80
Numéro
7-8
Pages
612-620
Langue
anglais
Résumé
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
Oui
Création de la notice
31/08/2009 13:31
Dernière modification de la notice
20/08/2019 17:09
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