An asymptotic expansion for the tail of compound sums of Burr distributed random variables |
| |
Authors: | Dominik Kortschak Hansjörg Albrecher |
| |
Affiliation: | Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Batiment Extranef, UNIL-Dorigny, 1015 Lausanne, Switzerland |
| |
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. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|