Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure

DOI10.1214/AOP/1176994419MaRDI QIDQ1152159zbMATH OpenOpenAlexFDO

Authors Paul Embrechts, Charles M. Goldie

Publication date 1981

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

Full work available at URL https://doi.org/10.1214/aop/1176994419

zbMATH Keywords

generalised gamma convolutionsinfinite divisibilityLevy measuresrapid variationregular variationsubexponentialitytails of probability distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Cited in

(12)

• Probability measures, Lévy measures and analyticity in time
• On convolution tails
• The rate of convergence for subexponential distributions
• On a Pitman-Yor problem
• On a multivariate strong renewal theorem
• Bounds for the expected number of level crossings of certain harmonizable infinitely divisible processes
• Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
• Variational solutions of stochastic partial differential equations with cylindrical Lévy noise
• Infinite divisibility and generalized subexponentiality
• Lévy-Type Stochastic Integrals with Regularly Varying Tails
• A Conversation With Paul Embrechts
• Convolution and convolution-root properties of long-tailed distributions

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