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20042011
most citedVeraverbeke's theorem at large - On the maximum of some processes with negative drift and heavy tail innovations

2 citations · 2 across the 6 of their papers we have counts for

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Showing 2006 · math.PRShow all

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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…