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The second-order version of Karamata’s theorem with applications

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  • Pan, Xiaoqing
  • Leng, Xuan
  • Hu, Taizhong

Abstract

Karamata’s theorem is well known, which examines the integral properties of regular variation functions. In this paper, we obtain the second-order version of Karamata’s theorem, and give its one application in characterizing the second-order regular variation property of a survival function in terms of conditional moments.

Suggested Citation

  • Pan, Xiaoqing & Leng, Xuan & Hu, Taizhong, 2013. "The second-order version of Karamata’s theorem with applications," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1397-1403.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:5:p:1397-1403
    DOI: 10.1016/j.spl.2013.02.006
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    References listed on IDEAS

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    1. Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
    2. Holger Drees, 1998. "On Smooth Statistical Tail Functionals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 187-210, March.
    3. Geluk, J. & de Haan, L. & Resnick, S. & Starica, C., 1997. "Second-order regular variation, convolution and the central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 139-159, September.
    4. Chen, Die & Mao, Tiantian & Pan, Xiaoqing & Hu, Taizhong, 2012. "Extreme value behavior of aggregate dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 99-108.
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    Cited by:

    1. Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.

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