Abstract: An infinite convergent sum of independent and identically distributed random variables discounted by a multiplicative random walk is called perpetuity, because of a possible actuarial application. We give three disjoint groups of sufficient conditions which ensure that the distribution right tail of a perpetuity is asymptotic to as for some and . Our results complement those of Denisov and Zwart [J. Appl. Probab. 44 (2007), 1031--1046]. As an auxiliary tool we provide criteria for the finiteness of the one-sided exponential moments of perpetuities. Several examples are given in which the distributions of perpetuities are explicitly identified.
Recommendations
Cites work
- A note on the Kesten-Grincevičius-Goldie theorem
- An integral representation for selfdecomposable banach space valued random variables
- Extreme value theory for moving average processes
- Generalized gamma convolutions and related classes of distributions and densities
- scientific article; zbMATH DE number 1528193 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- Implicit renewal theory and tails of solutions of random equations
- Implicit renewal theory in the arithmetic case
- Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
- Iterated random functions and slowly varying tails
- Logarithmic tails of sums of products of positive random variables bounded by one
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- On a Theorem of Breiman and a Class of Random Difference Equations
- On distributional properties of perpetuities
- On positive distributions of the class L of self-decompsable laws
- On stochastic processes connected with certain physical recording apparatuses
- On tails of perpetuities
- One limit distribution for a random walk on the line
- Perpetuities with thin tails
- Perpetuities with thin tails revisited
- Random difference equations and renewal theory for products of random matrices
- Regular variation in the tail behaviour of solutions of random difference equations
- Renewal theory for perturbed random walks and similar processes
- Shot Noise Distributions and Selfdecomposability
- Stability of perpetuities
- Stochastic Models with Power-Law Tails
- Subexponentiality of the product of independent random variables
- Tail asymptotics for exponential functionals of Lévy processes
- Tail Asymptotics of the Supremum of a Regenerative Process
- The probabilities of absolute ruin in the renewal risk model with constant force of interest
- Thin tails of fixed points of the nonhomogeneous smoothing transform
Cited in
(16)- Perpetuities with thin tails revisited
- The present value of a stochastic perpetuity and the gamma distribution
- On the properties of a Takács distribution
- Stability of perpetuities
- Stochastic fixed-point equation and local dependence measure
- Stochastic recursions: between Kesten's and Grincevičius-Grey's assumptions
- A note on the Kesten-Grincevičius-Goldie theorem
- On tails of perpetuities
- A result on power moments of L\'evy-type perpetuities and its application to the $L_p$-convergence of Biggins' martingales in branching L\'evy processes
- Perpetuities with thin tails
- On the finiteness and tails of perpetuities under a Lamperti-Kiu map
- Continuous-time perpetuities and time reversal of diffusions
- On perpetuities with light tails
- Statistical aspects of perpetuities
- Approximations for the distribution of perpetuities with small discount rates
- Perpetuities with light tails and the local dependence measure
This page was built for publication: On perpetuities with gamma-like tails
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4684945)
