A necessary and sufficient condition for the subexponentiality of the product convolution

DOI10.1017/apr.2018.4zbMath1443.60018arXiv1605.02319OpenAlexW2793972091MaRDI QIDQ5214991

Fengyang Cheng, Hui Xu, Dong Ya Cheng, Yue-bao Wang

Publication date: 5 February 2020

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

Full work available at URL: https://arxiv.org/abs/1605.02319

zbMATH Keywords

necessary and sufficient conditionsubexponential distributionproduct convolutiondiscrete-time insurance risk model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Probability distributions: general theory (60E05) Credit risk (91G40)

Related Items (6)

On the long tail property of product convolution ⋮ A note on product-convolution for generalized subexponential distributions ⋮ Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Continuous scaled phase-type distributions ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

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