Convolution and convolution-root properties of long-tailed distributions

DOI10.1007/S10687-015-0224-2zbMATH Open1327.60042arXiv1501.07458OpenAlexW1695623954MaRDI QIDQ897839FDOQ897839

Authors: Hui Xu, Sergey Foss, Yuebao Wang 

Publication date: 8 December 2015

Published in: Extremes (Search for Journal in Brave)

Abstract: We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max" operations on heavy-tailed random variables. We analyse the closedness property under convolution roots for these distributions. Namely, we introduce two classes of heavy-tailed distributions that are not long-tailed and study their properties. These examples help to provide further insights and, in particular, to show that the properties to be both long-tailed and so-called "generalised subexponential" are not preserved under the convolution roots. This leads to a negative answer to a conjecture of Embrechts and Goldie [10, 12] for the class of long-tailed and generalised subexponential distributions. In particular, our examples show that the following is possible: an infinitely divisible distribution belongs to both classes, while its Levy measure is neither long-tailed nor generalised subexponential.

Full work available at URL: https://arxiv.org/abs/1501.07458

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zbMATH Keywords

convolutionclosednessrandom suminfinitely divisible distributionlong-tailed distributionconvolution rootgeneralised subexponential distributionLévy measure

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Large deviations (60F10) Sums of independent random variables; random walks (60G50)

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Cited In (28)

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