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A property of longtailed distributions

Published online by Cambridge University Press:  14 July 2016

Paul Embrechts  and
Edward Omey
Paul Embrechts*
Affiliation:
Katholieke Universiteit, Leuven
Edward Omey*
Affiliation:
Economische Hogeschool Sint-Aloysius, Brussel
*
∗ Postal address: Department Wiskunde K. U. Leuven, Celestijnenlaan 200 B, B-3030 Leuven, Belgium.
∗∗ Postal address: Economische Hogeschool Sint-Aloysius, Broekstraat 113, B-1000 Brussel, Belgium.
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Abstract

We investigate sufficient conditions so that is subexponential. Here F is a distribution function on [0, ∞[, with finite mean. Some applications to risk theory and rates of convergence in renewal theory are given.

Keywords

INTEGRATED TAIL DISTRIBUTIONRENEWAL THEORYRISK THEORYSUBEXPONENTIALITY

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 21 , Issue 1 , March 1984 , pp. 80 - 87
Copyright
Copyright © Applied Probability Trust 1984 

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