On a Property of Subexponential Distributions |
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| Authors: | Baltrūnas A |
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| Institution: | (1) Institute of Mathematics and Informatics, Akademijos 4, LT-2021 Vilnius, Lithuania |
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| Abstract: | Let F be a distribution function (d.f.) on 0, ) with finite first moment m >0. We define the integrated tail distribution function F
1 of F by F
1(t)=m-1
0
t
(1- F(u))du, t 0. In this paper, we obtain sufficient conditions under which implications F S F
1S and F
1S FS hold, where S is the class of subexponential distributions. |
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| Keywords: | subexponential distributions O-regular variation risk theory |
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