Random Scaling of Gumbel Risks

Publication date 26 December 2013

Abstract: In this paper we consider the product of two positive independent risks

Y_{1}

and

Y_{2}

. If

Y_{1}

is bounded and

Y_{2}

has distribution in the Gumbel max-domain of attraction with some auxiliary function which is regularly varying at infinity, then we show that

Y_{1} Y_{2}

has also distribution in the Gumbel max-domain of attraction. Additionally, if both

Y_{1}, Y_{2}

have log-Weibullian or Weibullian tail behavior, we show that

Y_{1} Y_{2}

has log-Weibullian or Weibullian asymptotic tail behavior, respectively. We present two applications of our results.

This page was built for publication: Random Scaling of Gumbel Risks