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arXiv · 1712.04070

Tail asymptotics of light-tailed Weibull-like sums

Søren Asmussen·Enkelejd Hashorva·Patrick J. Laub·Thomas Taimre
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Abstract

We consider sums of $n$ i.i.d. random variables with tails close to $\exp\{-x^β\}$ for some $β>1$. Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg & Resnick (1993) are discussed from the point of view of tails rather of densities, using a somewhat different angle, and supplemented with bounds, results on a random number $N$ of terms, and simulation algorithms.

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Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub, Thomas Taimre. 2017-12-11. Tail asymptotics of light-tailed Weibull-like sums. https://arxiv.org/abs/1712.04070

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