Characterization of tails through hazard rate and convolution closure properties

DOI10.1239/JAP/1318940460zbMATH Open1263.60011arXiv1102.1554OpenAlexW3104394151MaRDI QIDQ3094479FDOQ3094479

Authors: A. Bardoutsos, Dimitrios G. Konstantinides 

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Abstract: We use the properties of the Matuszewska indices to show asymptotic inequalities for hazard rates. We discuss the relation between membership in the classes of dominatedly or extended rapidly varying tail distributions and corresponding hazard rate conditions. Convolution closure is established for the class of distributions with extended rapidly varying tails.

Full work available at URL: https://arxiv.org/abs/1102.1554

Recommendations

• Characterization of a general class of tail probability distributions
• Characterizations on heavy-tailed distributions by means of hazard rate.
• Hazard function and characterizations on distribution tails of nonnegative random variables
• Estimating tails of independently stopped random walks using concave approximations of hazard functions
• Tail approximations to the density function in EVT
• Refinement of convergence rates for tail probabilities
• Refinement of convergence rates for tail probabilities
• scientific article; zbMATH DE number 4030594
• Closure of some heavy-tailed distribution classes under random convolution
• Asymptotics of convolution with the semi-regular-variation tail and its application to risk

zbMATH Keywords

hazard rate functiondominatedly varying tailsubexponentialityMatuszewska indexextended rapidly varying tail

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Cited In (3)

• Hazard function and characterizations on distribution tails of nonnegative random variables
• A note on product-convolution for generalized subexponential distributions
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

This page was built for publication: Characterization of tails through hazard rate and convolution closure properties

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3094479)