New examples of heavy-tailed O-subexponential distributions and related closure properties
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Publication:419144
DOI10.1016/J.SPL.2011.12.011zbMath1242.60014OpenAlexW1988185032MaRDI QIDQ419144
Publication date: 18 May 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.12.011
heavy-tailed distributionsubexponential distributionclosure propertylong-tailed distributionO-subexponential distribution
Related Items (18)
A note on product-convolution for generalized subexponential distributions ⋮ Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ Closure properties of \(O\)-exponential distributions ⋮ Some discussions on the local distribution classes ⋮ Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments ⋮ Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables ⋮ A new class of large claim size distributions: definition, properties, and ruin theory ⋮ On asymptotic equivalence among the solutions of some defective renewal equations ⋮ Convolution and convolution-root properties of long-tailed distributions ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Infinite-time absolute ruin in dependent renewal risk models with constant force of interest ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Asymptotics for the solutions to defective renewal equations ⋮ Tail behavior of supremum of a random walk when Cramér's condition fails ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ Some positive conclusions related to the Embrechts-Goldie conjecture ⋮ On a transformation between distributions obeying the principle of a single big jump
Cites Work
- Lower limits and equivalences for convolution tails
- Lower limits and upper limits for tails of random sums supported on \(\mathbb R\)
- Asymptotic ordering of distribution functions and convolution semigroups
- Infinite divisibility and generalized subexponentiality
- Some new results on the subexponential class
- On the non-closure under convolution of the subexponential family
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