SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY

• Published in: Journal of the Australian Mathematical Society (2001) Vol. 112; no. 3; pp. 367 - 390
• Main Author: WATANABE, TOSHIRO
• Format: Journal Article
• Language: English
• Published: Cambridge, UK Cambridge University Press 01.06.2022
• Subjects: Asymptotic methods; Asymptotic properties; Decomposition; local subexponentiality; infinite divisibility; 60E07; second order subexponentiality; 60G51; 60G50

We characterize the second order subexponentiality of an infinitely divisible distribution on the real line under an exponential moment assumption. We investigate the asymptotic behaviour of the difference between the tails of an infinitely divisible distribution and its Lévy measure. Moreover, we s...