Asymptotics of convolution with the semi-regular-variation tail and its application to risk

Zhaolei Cui; Edward Omey; Wenyuan Wang; Yuebao Wang

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arXiv · 1712.01459

Asymptotics of convolution with the semi-regular-variation tail and its application to risk

Zhaolei Cui·Edward Omey·Wenyuan Wang·Yuebao Wang

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Abstract

In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the semi-regular-variation-tailed distribution class. In the class, although all distributions are not convolution equivalent,they still have some good properties. We give the precise tail asymptotic expression of convolution of these distributions, and prove that the new class is closed under convolution. In addition, we do not need to require the corresponding random variables to be identically distributed. Finally, we apply these results to a discrete time risk model with stochastic returns, and obtain the precise asymptotic estimation of the finite time ruin probability.

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Zhaolei Cui, Edward Omey, Wenyuan Wang, Yuebao Wang. 2018-05-29. Asymptotics of convolution with the semi-regular-variation tail and its application to risk. https://arxiv.org/abs/1712.01459

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