A sharp Abelian theorem for the Laplace transform
Résumé
This paper states asymptotic equivalents for the moments of the Esscher transform of a distribution on R with smooth density in the upper tail. As a by product if provides a tail approximation for its moment generating function, and shows that the Esscher transforms have a Gaussian behavior for large values of the parameter.
Origine : Fichiers produits par l'(les) auteur(s)
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