Compound sums and subexponentiality
Schmidli, Hanspeter
Bernoulli, Tome 5 (1999) no. 6, p. 999-1012 / Harvested from Project Euclid
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We investigate compound distributions - for example, compound mixed Poisson distributions - in the case where the summands, the mixing distribution or the number of summands are subexponential. It is shown that such a distribution is subexponential. As an illustration the tail of the maximum of a Björk-Grandell process is obtained.
Publié le : 1999-12-14
Classification:  compound distribution,  extreme-value theory,  integrated tail distribution,  mixed Poisson distribution,  subexponential distribution 
@article{1143122299,
     author = {Schmidli, Hanspeter},
     title = {Compound sums and subexponentiality},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 999-1012},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1143122299}
}

Schmidli, Hanspeter. Compound sums and subexponentiality. Bernoulli, Tome 5 (1999) no. 6, pp.  999-1012. http://gdmltest.u-ga.fr/item/1143122299/