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math.PR2006
Asymptotic expansions for distributions of compound sums of light subexponential random variables
Ph . Barbe, W. P. McCormick, C. Zhang
We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same light-tailed subexponential distribution. The examples…
math.PR2006
Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments
Ph . Barbe, W. P. McCormick, C. Zhang
Let F be a distribution function with negative mean and regularly varying right tail. Under a mild smoothness condition we derive higher order asymptotic expansions for the tail di…