Characterization of tails through hazard rate and convolution closure properties

DOI10.1239/JAP/1318940460MaRDI QIDQ3094479zbMATH OpenOpenAlexFDO

Authors A. Bardoutsos, Dimitrios G. Konstantinides

Publication date 25 October 2011

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.1554

zbMATH Keywords

hazard rate functiondominatedly varying tailsubexponentialityMatuszewska indexextended rapidly varying tail

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Abstract: We use the properties of the Matuszewska indices to show asymptotic inequalities for hazard rates. We discuss the relation between membership in the classes of dominatedly or extended rapidly varying tail distributions and corresponding hazard rate conditions. Convolution closure is established for the class of distributions with extended rapidly varying tails.

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Cited in

(6)

• Hazard function and characterizations on distribution tails of nonnegative random variables
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• A note on product-convolution for generalized subexponential distributions
• Uniform asymptotic estimates in a bidimensional time-dependent risk model with proportional reinsurance and general investment returns
• Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims
• Positively decreasing and related distributions under dependence

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