We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence of compound renewal processes to a-stable...

Abstract Let Y = m ( X )+ ϵ be a regression model with a dichotomous output Y and a step function m with exact one jump at a point θ and two different levels a and b . In the applied sciences the parameter θ is interpreted as a split-point whereas b and 1- a are known as positive and negative...