Asymptotic expansions for distributions of compound sums of light subexponential random variables
Probability
2007-05-23 v1
Abstract
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 of a Poisson and geometric number of summands serve as an illustration of the main result. Complete calculations are done for a Weibull distribution, with which we derive, as examples and without any difficulties, 7 terms expansions.
Keywords
Cite
@article{arxiv.math/0604378,
title = {Asymptotic expansions for distributions of compound sums of light subexponential random variables},
author = {Ph . Barbe and W. P. McCormick and C. Zhang},
journal= {arXiv preprint arXiv:math/0604378},
year = {2007}
}
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13 pages