Convolution tails, product tails and domains of attraction
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A distribution function is said to have an exponential tail \(\bar F(t)=F(t,\infty)\) if \(e^{\alpha u}\bar F(t+u)\) is asymptotically equivalent to \(\bar F(t),\) \(t\to \infty\), for all u. In this case \(\bar F(\ln t)\) is regularly varying. For two such distributions, F and G, the convolution \(H=F*G\) also has an exponential tail. We investigate the relationship between \(\bar H\) and its components \(\bar F\) and \(\bar G,\) providing conditions for \(\lim \bar H/\bar F\) to exist. In addition, we are able to describe the asymptotic nature of \(\bar H\) when the limit is infinite, for many cases. This corresponds to determining both the domain of attraction and the norming constants for the product of independent variables whose distributions have regularly varying tails. In addition, we compare the tails of \(H=F*G\) with \(H_ 1=F_ 1*G_ 1\) when \(\bar F\) is asymptotically equivalent to \(\bar F\) and \(\bar G\) is equivalent to \(\bar G_ 1\). Such a comparison corresponds to the balancing consideration for the product of independent variables in stable domains of attraction. We discover that there are several distinct comparisons possible.
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Cited in
(only showing first 100 items - show all)- The structure of the class of subexponential distributions
- Joint stable attraction of two sums of products
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- Multivariate subexponential distributions
- Subexponential distributions and characterizations of related classes
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- Ruin probabilities in perturbed risk models
- Suprema and sojourn times of Lévy processes with exponential tails
- Subexponentiality of the product of independent random variables
- Large claims approximations for risk processes in a Markovian environment
- Interplay of subexponential and dependent insurance and financial risks
- Consistency for least squares regression estimators with infinite variance data
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- Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
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- Homogeneous mappings of regularly varying vectors
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- From light tails to heavy tails through multiplier
- The max-INAR(1) model for count processes
- Extremal dependence of random scale constructions
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- Ruin with insurance and financial risks following the least risky FGM dependence structure
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- The Wiener condition and the conjectures of Embrechts and Goldie
- The subexponentiality of products revisited
- Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
- On a class of Lévy processes
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- Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
- Joint tail of ECOMOR and LCR reinsurance treaties
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
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- Some asymptotic results for sums of dependent random variables, with actuarial applications
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- Tail asymptotics for a random sign Lindley recursion
- Subexponential interval graphs generated by immigration-death processes
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- Modelling of extremal events in insurance and finance
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- Cyclic queueing networks with subexponential service times
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- Iterated random functions and regularly varying tails
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- Time series regression on integrated continuous-time processes with heavy and light tails
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- Degree-degree dependencies in directed networks with heavy-tailed degrees
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- The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
- Tail Asymptotics of the Supremum of a Regenerative Process
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
- Weighted sums of subexponential random variables and their maxima
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
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- Branching random walk with infinite progeny mean: a tale of two tails
- Continuous scaled phase-type distributions
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- Ruin probabilities of a discrete-time risk model with a dependence structure among insurance and financial risks
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- The heavy-tail behavior of the difference of two dependent random variables
- Generating families of distributions using Yun and sigmoidal transformations with an application to exponential distribution
- The full solution of the convolution closure problem for convolution- equivalent distributions
- Extreme value theory for spatial random fields -- with application to a Lévy-driven field
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