A new class of large claim size distributions: definition, properties, and ruin theory
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Publication:888489
DOI10.3150/14-BEJ651zbMath1362.60007arXiv1307.6149OpenAlexW3105191320MaRDI QIDQ888489
Jochen Blath, Sergej Beck, Michael K. R. Scheutzow
Publication date: 30 October 2015
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.6149
Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)
Related Items (7)
On the long tail property of product convolution ⋮ Closure properties of \(O\)-exponential distributions ⋮ Limiting behaviour of constrained sums of two variables and the principle of a single big jump ⋮ The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ Some positive conclusions related to the Embrechts-Goldie conjecture ⋮ On a transformation between distributions obeying the principle of a single big jump
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