Journal of Applied Probability · 2004 · 149 citations · 17 references
Natural SciencesMathematicsProbability TheoryStochastic ProcessesLimit TheoremsLévy ProcessesMeasure-theoretic ProbabilityPoisson ProcessesProbability DistributionsCompound Poisson DistributionsCompound Poisson ModelsCompound Poisson ProcessesConvolutionInfinite DivisibilityInfinitely Divisible DistributionsLévy MeasurePoisson Distribution
Known results relating the tail behaviour of a compound Poisson distribution function to that of its Lévy measure when one of them is convolution equivalent are extended to general infinitely divisible distributions. A tail equivalence result is obtained for random sum distributions in which the summands have a two-sided distribution.
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Stochastic Processes for Insurance and Finance
Larry Y. Tzeng, Volker Schmidt, Hanspeter Schmidli et al. · Journal of Risk & Insurance · 2001 · 863 citations