Randomly stopped maximum and maximum of sums with consistently varying distributions

DOI10.15559/17-VMSTA74zbMath1372.60064arXiv1704.02137OpenAlexW2593592321MaRDI QIDQ522551

Martynas Manstavičius, Ieva Marija Andrulytė, Jonas Šiaulys

Publication date: 18 April 2017

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.02137

zbMATH Keywords

independent random variablesheavy tailclosure propertysumsconsistently varying tailrandomly stopped maximum

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05)

Related Items (6)

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Closure properties of \(O\)-exponential distributions ⋮ Closure property of consistently varying random variables based on precise large deviation principles ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

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