A note on max-sum equivalence

DOI10.1016/J.SPL.2010.07.015zbMath1211.62085OpenAlexW2033552853MaRDI QIDQ613149

Jinzhu Li, Qi-he Tang

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.015

zbMATH Keywords

subexponentialitylong tailmax-sum equivalence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Distribution theory (60E99)

Related Items (6)

Weak max-sum equivalence for dependent heavy-tailed random variables ⋮ Asymptotics for the partial sum and its maximum of dependent random variables ⋮ Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables ⋮ On a closure property of convolution equivalent class of distributions ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks

Cites Work

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• Some closure properties for subexponential distributions
• Convolution tails, product tails and domains of attraction
• The class of subexponential distributions
• Probabilities of large deviations for random walks with regular distribution of jumps.
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• On the non-closure under convolution of the subexponential family
• Subexponentiality and infinite divisibility
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications

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