Second order subexponential distributions with finite mean and their applications to subordinated distributions

Jianxi Lin

Second order subexponential distributions with finite mean and their applications to subordinated distributions

Probability 2010-11-17 v1

Authors: Jianxi Lin

Abstract

Consider a probability distribution subordinate to a subexponential distribution with finite mean. In this paper, we discuss the second order tail behavior of the subordinated distribution within a rather general framework in which we do not require the existence of density functions. For this aim, the so-called second order subexponential distribution is proposed and some related properties of its are established. Our results unified and improved some classical results.

Keywords

second order subexponential distribution subordinated distribution tail behavior finite mean subexponential distribution asymptotic analysis

Cite

@article{arxiv.1011.3642,
  title  = {Second order subexponential distributions with finite mean and their applications to subordinated distributions},
  author = {Jianxi Lin},
  journal= {arXiv preprint arXiv:1011.3642},
  year   = {2010}
}

Comments

20 pages

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