Asymptotics for Sums of Random Variables with Local Subexponential Behaviour

Søren Asmussen (), Serguei Foss () and Dmitry Korshunov ()
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Søren Asmussen: Lund University
Serguei Foss: Sobolev Institute of Mathematics
Dmitry Korshunov: Sobolev Institute of Mathematics

Journal of Theoretical Probability, 2003, vol. 16, issue 2, 489-518

Abstract: Abstract We study distributions F on [0,∞) such that for some T ≤ ∞, F *2(x, x+T] ∼ 2F(x, x+T]. The case T = ∞ corresponds to F being subexponential, and our analysis shows that the properties for T

Keywords: sums of independent random variables; subexponential distributions; distribution tails; local probabilities (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (12)

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DOI: 10.1023/A:1023535030388

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