Randomly stopped minima and maxima with exponential-type distributions

closure property maximum of sums counting random variable class of exponential distributions minimum of sums randomly stopped maxima randomly stopped minima

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)

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Cites work

scientific article; zbMATH DE number 4030594 (Why is no real title available?)
scientific article; zbMATH DE number 3662269 (Why is no real title available?)
scientific article; zbMATH DE number 4122944 (Why is no real title available?)
A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
A new class of large claim size distributions: definition, properties, and ruin theory
A note on the asymptotics for the randomly stopped weighted sums
An introduction to heavy-tailed and subexponential distributions
Asymptotic ordering of distribution functions and convolution semigroups
Asymptotics of convolution with the semi-regular-variation tail and its application to risk
Closure of some heavy-tailed distribution classes under random convolution
Closure properties of \(O\)-exponential distributions
Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
Convolution and convolution-root properties of long-tailed distributions
Convolution equivalence and distributions of random sums
Convolution equivalence and infinite divisibility
Degeneracy properties of subcritical branching processes
Functions of probability measures
Infinite divisibility and generalized subexponentiality
On a transformation between distributions obeying the principle of a single big jump
On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
On the random max-closure for heavy-tailed random variables
On the structure of a class of distributions obeying the principle of a single big jump
Random convolution of \(\mathcal{O}\)-exponential distributions
Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
Randomly stopped maximum and maximum of sums with consistently varying distributions
Randomly stopped sums of not identically distributed heavy tailed random variables
Randomly stopped sums with consistently varying distributions
Randomly stopped sums with exponential-type distributions
Semi-heavy tails
Some properties of the exponential distribution class with applications to risk theory
The overshoot of a random walk with negative drift

Cited in

(5)

Closure properties of \(O\)-exponential distributions
Regularly distributed randomly stopped sum, minimum, and maximum
On a closure property of convolution equivalent class of distributions
Randomly stopped sums with exponential-type distributions
Randomly stopped maximum and maximum of sums with consistently varying distributions

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