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

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.

MoreLess

Year of publication:	2010
Authors:	Kortschak, Dominik ; Albrecher, Hansjörg
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 7-8, p. 612-620
Publisher:	Elsevier

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551110