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

DOI10.1007/s10986-017-9355-2zbMath1373.60031OpenAlexW2614141783MaRDI QIDQ2401238

Jonas Šiaulys, Remigijus Leipus

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

heavy tailsclosure propertydominatedly varying taillong tailrandom maximumnonidentically distributed random variables

Mathematics Subject Classification ID

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

Related Items (6)

Closure properties of \(O\)-exponential distributions ⋮ Closure property of consistently varying random variables based on precise large deviation principles ⋮ Regularly distributed randomly stopped sum, minimum, and maximum ⋮ Randomly stopped sums with exponential-type distributions ⋮ Randomly stopped minima and maxima with exponential-type distributions ⋮ Asymptotics for the sum of three state Markov dependent random variables

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Randomly stopped sums of not identically distributed heavy tailed random variables
• Tail behavior of random sums of negatively associated increments
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Convolution and convolution-root properties of long-tailed distributions
• The tail behaviour of a random sum of subexponential random variables and vectors
• Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• Closure of some heavy-tailed distribution classes under random convolution
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• A property of longtailed distributions
• A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
• Subexponential distributions and integrated tails
• Subexponential distributions and dominated-variation tails
• Maxima of Sums of Heavy-Tailed Random Variables
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift

This page was built for publication: On the random max-closure for heavy-tailed random variables