A property of longtailed distributions-Reference-Cited by-同舟云学术

A property of longtailed distributions

Published:1984-03 Issue:1 Volume:21 Page:80-87
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Embrechts Paul,Omey Edward

Abstract

We investigate sufficient conditions so that is subexponential. Here F is a distribution function on [0, ∞[, with finite mean. Some applications to risk theory and rates of convergence in renewal theory are given.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference16 articles.

1. On closure and factorization properties of subexponential and related distributions

2. On the tails of waiting-time distributions

3. The behaviour of the renewal sequence in case the tail of the waiting-time distribution is regularly varying with index – 1;Frenk;Adv. Appl. Prob.,1983

4. Embrechts P. (1982) Subexponential distribution functions and their applications, A review. Proc. 7th Brasov Conf. Probability Theory.

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