On the structure of a class of distributions obeying the principle of a single big jump

zbMATH Open1342.60016arXiv1406.2754MaRDI QIDQ5741263FDOQ5741263

Authors: Hui Xu, Zhaolei Cui, Michael Scheutzow, Yuebao Wang 

Publication date: 22 July 2016

Abstract: In this paper, we present several heavy-tailed distributions belonging to the new class J of distributions obeying the principle of a single big jump introduced by Beck et al. [1]. We describe the structure of this class from different angles. First, we show that heavy-tailed distributions in the class J are automatically strongly heavy-tailed and thus have tails which are not too irregular. Second, we show that such distributions are not necessarily weakly tail equivalent to a subexponential distribution. We also show that the class of heavy-tailed distributions in J which are neither long-tailed nor dominatedly-varying-tailed is not only non-empty but even quite rich in the sense that it has a nonempty intersection with several other well-established classes. In addition, the integrated tail distribution of some particular of these distributions shows that the Pakes-Veraverbeke-Embrechts Theorem for the class J in [1] does not hold trivially.

Full work available at URL: https://arxiv.org/abs/1406.2754

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zbMATH Keywords

integrated tail distributionprinciple of a single big jumpweak tail equivalencestrongly heavy-tailed distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Sums of independent random variables; random walks (60G50)

Cited In (8)

• On the long tail property of product convolution
• Convolution and convolution-root properties of long-tailed distributions
• Closure properties of \(O\)-exponential distributions
• On a transformation between distributions obeying the principle of a single big jump
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Some positive conclusions related to the Embrechts-Goldie conjecture
• Randomly stopped minima and maxima with exponential-type distributions
• A necessary and sufficient condition for the subexponentiality of the product convolution

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