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

Dominik Kortschak and Hansjörg Albrecher

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 612-620

Abstract: 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.

Date: 2010
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