Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution

Barbe, Ph.; P. McCormick, William; Zhang, C.

doi:10.1239/jap/1189717537

Public

Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution

Published in Journal of Applied Probability • Sep 1, 2007

Authors:

Ph. Barbe

William P. McCormick

C. Zhang

Abstract

We derive an asymptotic expansion for the distribution of a compound sum of independent random variables, all having the same rapidly varying subexponential distribution. The examples of a Poisson and geometric number of summands serve as an illustration of the main result. Complete calculations are...

Subject

Mathematics

Weibull distribution

Poisson distribution

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