Files and links (2)
Published, Version of Record (VoR)Open Access (License Unspecified), Open
Journal article
PERPETUITIES WITH THIN TAILS REVISITED
The Annals of applied probability, v 19(6), pp 2080-2101
01 Dec 2009
Abstract
We consider the tail behavior of random variables R which are solutions of the distributional equation R (d)= Q + M R, where (Q. M) is independent of R and vertical bar M vertical bar <= 1. Goldie and Grubel showed that the tails of R are no heavier than exponential and that if Q is bounded and M resembles near I 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 nonnegative.
Metrics
Details
- Title
- PERPETUITIES WITH THIN TAILS REVISITED
- Creators
- Pawel Hitczenko - Drexel UniversityJacek Wesolowski - Warsaw Univ Sci & Technol, Wydzial Matematyki & Nauk Informacyjnych, PL-00661 Warsaw, Poland
- Publication Details
- The Annals of applied probability, v 19(6), pp 2080-2101
- Publisher
- Inst Mathematical Statistics
- Number of pages
- 22
- Grant note
- H98230-09-1-0062 / NSA; National Security Agency
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Mathematics
- Web of Science ID
- WOS:000283529200003
- Scopus ID
- 2-s2.0-73949151895
- Other Identifier
- 991019168008604721
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Statistics & Probability