Second order subexponential distributions with finite mean and their applications to subordinated distributions

Details Second order subexponential distributions with finite mean and their applications to subordinated distributions Second order subexponential distributions with finite mean and their applications to subordinated distributions

2010-11-16

arxiv.org/abs/1011.3642v1

Mathematics

Probability

20 pages

Scientific paper

Consider a probability distribution subordinate to a subexponential distribution with finite mean. In this paper, we discuss the second order tail behavior of the subordinated distribution within a rather general framework in which we do not require the existence of density functions. For this aim, the so-called second order subexponential distribution is proposed and some related properties of its are established. Our results unified and improved some classical results.

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