96-24

Investigation of Convergence Rates in Risk Theory in Presence of Heavy Tails

by Liebner, S.

 

Preprint series: 96-24, Preprints

MSC:
60F05 Central limit and other weak theorems
60G70 Extreme value theory; extremal processes

 

Abstract: Limit theorems for various random variables occurring in risk theory have beenestablished in [6]. Based on a theorem for the variable Z (u) , normalized with afunction a(u), rates of convergence are calculated in this paper. For some specialcases the function a(u) was determined in such a manner that this rate could beincreased. The proofs include developments occurring terms into sequences.

Keywords: subexponential distributions, extreme value theory, rates of convergence,integrated tail

Letzte Änderung: 01.03.2018 - Ansprechpartner: Webmaster