Subexponential distributions and integrated tails
- 1 March 1988
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 25 (01) , 132-141
- https://doi.org/10.1017/s0021900200040705
Abstract
Let F be a distribution function on [0,∞) with finite expectation. In terms of the hazard rate of F several conditions are given which simultaneously imply subexponentiality of F and of its integrated tail distribution F 1. These conditions apply to a wide class of longtailed distributions, and they can also be used in connection with certain random walks which occur in risk theory and queueing theory.Keywords
This publication has 9 references indexed in Scilit:
- A property of longtailed distributionsJournal of Applied Probability, 1984
- On convolution tailsStochastic Processes and their Applications, 1982
- Estimates for the probability of ruin with special emphasis on the possibility of large claimsInsurance: Mathematics and Economics, 1982
- Subexponential distributions and dominated-variation tailsJournal of Applied Probability, 1978
- Subexponential distributions and dominated-variation tailsJournal of Applied Probability, 1978
- Asymptotic behaviour of Wiener-Hopf factors of a random walkStochastic Processes and their Applications, 1977
- The Class of Subexponential DistributionsThe Annals of Probability, 1975
- Functions of probability measuresJournal d'Analyse Mathématique, 1973
- On Interchanging Limits and IntegralsThe Annals of Mathematical Statistics, 1960