On the random max-closure for heavy-tailed random variables

DOI10.1007/S10986-017-9355-2MaRDI QIDQ2401238zbMATH OpenOpenAlexFDO

Authors Remigijus Leipus, Jonas Šiaulys

Publication date 31 August 2017

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-017-9355-2

zbMATH Keywords

closure propertydominatedly varying tailheavy tailslong tailnonidentically distributed random variablesrandom maximum

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
• A property of longtailed distributions
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Closure of some heavy-tailed distribution classes under random convolution
• Convolution and convolution-root properties of long-tailed distributions
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• Subexponential distributions and integrated tails
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• The tail behaviour of a random sum of subexponential random variables and vectors
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

Cited in

(11)

• Closure properties of \(O\)-exponential distributions
• Closure of some heavy-tailed distribution classes under random convolution
• Asymptotics for the sum of three state Markov dependent random variables
• Regularly distributed randomly stopped sum, minimum, and maximum
• Closure property of random sum and its maximum of random variables from class \(\mathcal{D}\) based on precise large deviation principles
• On closure properties of heavy-tailed distributions for random sums
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Randomly stopped sums with exponential-type distributions
• Closure property of consistently varying random variables based on precise large deviation principles
• Randomly stopped minima and maxima with exponential-type distributions
• Regularity of a randomly stopped sum determines regularity of the stopping moment

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