Add to ORKGWe consider the tail behavior of random variablesRwhich are solutions of the distributional equation R d = Q + MR, where (Q,M) is independent of R and |M | ≤ 1. Goldie and Grübel showed that the tails of R are no heavier than exponential and that if Q is bounded and M resembles near 1 the uniform distribution, then the tails of R are Poissonian. In this paper we further investigate the connection between the tails of R and the behavior of M near 1. We focus on the special case when Q is constant and M is non–negative, but our results could be easily extended to more general situations.
We consider a distribution equation which was initially studied by Bertoin \cite{Bertoin}: \[M \stac...
AbstractLet {Ai} be a sequence of random positive numbers, such that only N first of them are strict...
Optimization problems depending on a probability measure correspond to many economic and financial a...
We consider the random variables $R$ which are solutions of the distributional equation $R\overset{\...
For a distribution F*t of a random sum St=¿1+¿+¿t of i.i.d. random variables with a common distribut...
Abstract: It is shown that the tail behavior of the function of nonnegative random variables can be ...
The well-known “Janson’s inequality ” gives Poisson-like upper bounds for the lower tail probability...
We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions...
We study lower limits for the ratio $\overline{F^{*\tau}}(x)/\,\overline F(x)$ of tail distributions...
Let X1, X2,…, Xn be n independent, identically distributed, non negative random variables and put an...
AbstractIn this paper we study the distributional tail behavior of the solution to a linear stochast...
AbstractLet X1, X2,…, Xn be n independent, identically distributed, non negative random variables an...
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of s...
In our thesis we analyze one class of heavy-tailed distributions. Distributions belonging to this cl...
We consider a distribution equation which was initially studied by Bertoin \cite{Bertoin}: \[M \stac...
AbstractLet {Ai} be a sequence of random positive numbers, such that only N first of them are strict...
Optimization problems depending on a probability measure correspond to many economic and financial a...
We consider the random variables $R$ which are solutions of the distributional equation $R\overset{\...
For a distribution F*t of a random sum St=¿1+¿+¿t of i.i.d. random variables with a common distribut...
Abstract: It is shown that the tail behavior of the function of nonnegative random variables can be ...
The well-known “Janson’s inequality ” gives Poisson-like upper bounds for the lower tail probability...
We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions...
We study lower limits for the ratio $\overline{F^{*\tau}}(x)/\,\overline F(x)$ of tail distributions...
Let X1, X2,…, Xn be n independent, identically distributed, non negative random variables and put an...
AbstractIn this paper we study the distributional tail behavior of the solution to a linear stochast...
AbstractLet X1, X2,…, Xn be n independent, identically distributed, non negative random variables an...
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of s...
In our thesis we analyze one class of heavy-tailed distributions. Distributions belonging to this cl...
We consider a distribution equation which was initially studied by Bertoin \cite{Bertoin}: \[M \stac...
AbstractLet {Ai} be a sequence of random positive numbers, such that only N first of them are strict...
Optimization problems depending on a probability measure correspond to many economic and financial a...