Skip to main content
×
Home
    • Aa
    • Aa

Asymptotic tail behaviour of phase-type scale mixture distributions

  • Leonardo Rojas-Nandayapa (a1) and Wangyue Xie (a1)
Abstract
Abstract

We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable Y and a non-negative but otherwise arbitrary random variable S called the scaling random variable. We investigate conditions for such a class of distributions to be either light- or heavy-tailed, we explore subexponentiality and determine their maximum domains of attraction. Particular focus is given to phase-type scale mixture distributions where the scaling random variable S has discrete support – such a class of distributions has been recently used in risk applications to approximate heavy-tailed distributions. Our results are complemented with several examples.

Copyright
Corresponding author
*Correspondence to: Wangyue Xie, School of Mathematics and Physics, The University of Queensland, St Lucia, Brisbane, QLD 4072, Australia. Tel: +61 424494412; E-mail: w.xie1@uq.edu.au
Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Annals of Actuarial Science
  • ISSN: 1748-4995
  • EISSN: 1748-5002
  • URL: /core/journals/annals-of-actuarial-science
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×

Keywords:

Metrics

Full text views

Total number of HTML views: 1
Total number of PDF views: 2 *
Loading metrics...

Abstract views

Total abstract views: 19 *
Loading metrics...

* Views captured on Cambridge Core between 29th August 2017 - 19th September 2017. This data will be updated every 24 hours.