Perpetuities with thin tails

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Charles M. Goldie
  • Rudolf Grübel

Organisationseinheiten

Externe Organisationen

  • Queen Mary University of London
  • University of Sussex
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Details

OriginalspracheEnglisch
Seiten (von - bis)463-480
Seitenumfang18
FachzeitschriftAdvances in applied probability
Jahrgang28
Ausgabenummer2
PublikationsstatusVeröffentlicht - Juni 1996

Abstract

We investigate the behaviour of P(R ≧ r) and P(R ≦ -r) as r → ∞ for the random variable R:= Σ∞n=1 Qn Πn-1k=1 Mk, where ((Qk, Mk))k∈N is an independent, identically distributed sequence with P(-1 ≦ M ≦ 1) = 1. Random variables of this type appear in insurance mathematics, as solutions of stochastic difference equations, in the analysis of probabilistic algorithms and elsewhere. Exponential and Poissonian tail behaviour can arise.

ASJC Scopus Sachgebiete

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Perpetuities with thin tails. / Goldie, Charles M.; Grübel, Rudolf.
in: Advances in applied probability, Jahrgang 28, Nr. 2, 06.1996, S. 463-480.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Goldie CM, Grübel R. Perpetuities with thin tails. Advances in applied probability. 1996 Jun;28(2):463-480. doi: 10.1017/S0001867800048576
Goldie, Charles M. ; Grübel, Rudolf. / Perpetuities with thin tails. in: Advances in applied probability. 1996 ; Jahrgang 28, Nr. 2. S. 463-480.
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