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

  • Hui Xu (a1), Fengyang Cheng (a1), Yuebao Wang (a1) and Dongya Cheng (a1)
Abstract

Let X and Y be two independent and nonnegative random variables with corresponding distributions F and G. Denote by H the distribution of the product XY, called the product convolution of F and G. Cline and Samorodnitsky (1994) proposed sufficient conditions for H to be subexponential, given the subexponentiality of F. Relying on a related result of Tang (2008) on the long-tail of the product convolution, we obtain a necessary and sufficient condition for the subexponentiality of H, given that of F. We also study the reverse problem and obtain sufficient conditions for the subexponentiality of F, given that of H. Finally, we apply the obtained results to the asymptotic study of the ruin probability in a discrete-time insurance risk model with stochastic returns.

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Corresponding author
* Postal address: School of Mathematical Sciences, Soochow University, Suzhou, 215006, China.
** Email address: ybwang@suda.edu.cn
References
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Advances in Applied Probability
  • ISSN: 0001-8678
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