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Tail asymptotics of light-tailed Weibull-like sums

by Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub and Thomas Taimre
Thiele Research Reports Number 4 (March 2017)

We consider sums of n i.i.d. random variables with tails close to exp{xβ} 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.

Keywords: Gumbel MDA; Laplace transform; Rare event simulation; Sums of of random variables; Weibull distribution

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