On a Property of Subexponential Distributions |
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Authors: | Baltrūnas A. |
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Affiliation: | (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 F1 of F by F1(t)=m-10t(1- F(u))du, t0. In this paper, we obtain sufficient conditions under which implications FSF1S and F1S 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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