Lower limits and equivalences for convolution tails

DOI10.1214/009117906000000647MaRDI QIDQ879260zbMATH OpenOpenAlexFDO

Authors Sergey Foss, Dmitry Korshunov

Publication date 8 May 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0510273

zbMATH Keywords

subexponential distributionconvolution equivalency

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Large deviations (60F10)

Abstract: Suppose $F$ is a distribution on the half-line $[0,infty)$. We study the limits of the ratios of tails $$ as $xoinfty$. We also discuss the classes of distributions $mathcalS$, $mathcalS(gamma)$ and ${mathcalS}^{\ast }$.

Recommendations

• Bounds on the tails of convolutions of compound distributions
• scientific article; zbMATH DE number 168115
• Tauberian theorems, Chernoff inequality and the tail behavior of finite convolutions of distribution functions
• On asymptotic behavior of the convolution of distributions with regularly exponentially decreasing tails
• scientific article; zbMATH DE number 1031012
• scientific article; zbMATH DE number 404335

Cites work

• scientific article; zbMATH DE number 4030594 (Why is no real title available?)
• scientific article; zbMATH DE number 3322619 (Why is no real title available?)
• Convolution equivalence and infinite divisibility
• Degeneracy properties of subcritical branching processes
• Functions of probability measures
• Limits of ratios of tails of measures
• On convolution tails
• On the constant in the definition of subexponential distributions
• Strongly subexponential distributions and Banach algebras of measures
• Subexponential distributions and integrated tails
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• The class of subexponential distributions

Cited in

(38)

• Random walks with non-convolution equivalent increments and their applications
• Convolution equivalence and infinite divisibility
• Lower limits and upper limits for tails of random sums supported on R
• On lower limits and equivalences for distribution tails of randomly stopped sums
• Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
• Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
• Convolution equivalence and distributions of random sums
• Asymptotics of convolution with the semi-regular-variation tail and its application to risk
• Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
• Asymptotic behavior for sums of non-identically distributed random variables
• Convolution and convolution-root properties of long-tailed distributions
• Convolutions of Long-Tailed and Subexponential Distributions
• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Local subexponentiality and self-decomposability
• Semi-heavy tails
• Convolution equivalence of strong subexponential distributions class \(S^*(\gamma)\)'s \(\mu\) integrated tail distributions
• Homogeneous mappings of regularly varying vectors
• On a transformation between distributions obeying the principle of a single big jump
• The Wiener condition and the conjectures of Embrechts and Goldie
• On asymptotic equivalence among the solutions of some defective renewal equations
• On domination problem of non-negative distributions
• Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
• Tail probabilities of St. Petersburg sums, trimmed sums, and their limit
• Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Estimating tails of independently stopped random walks using concave approximations of hazard functions
• Bounds on the tails of convolutions of compound distributions
• From light tails to heavy tails through multiplier
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Tails of Stopped Random Products: The Factoid and Some Relatives
• On a closure property of convolution equivalent class of distributions
• Some positive conclusions related to the Embrechts-Goldie conjecture
• On the closure under infinitely divisible distribution roots
• On convolution equivalence with applications
• Some discussions on the local distribution classes
• New examples of heavy-tailed O-subexponential distributions and related closure properties
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Tauberian theorems, Chernoff inequality and the tail behavior of finite convolutions of distribution functions

This page was built for publication: Lower limits and equivalences for convolution tails

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q879260)