Compound Sums and Subexponentiality

Compound Sums and Subexponentiality

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 distributions are subexponential. As an illustration the tail of the maximum of a Bj...

Ausführliche Beschreibung

Bibliographische Detailangaben
Veröffentlicht in:Bernoulli. - International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995. - 5(1999), 6, Seite 999-1012
1. Verfasser: Schmidli, Hanspeter (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 1999
Zugriff auf das übergeordnete Werk:Bernoulli
Schlagworte:Compound distribution Extreme-value theory Integrated tail distribution Mixed Poisson distribution Subexponential distribution Mathematics Philosophy Physical sciences Behavioral sciences Economics mehr... Arts Applied sciences
LEADER 01000caa a22002652 4500
001 JST012518182
003 DE-627
005 20240619223031.0
007 cr uuu---uuuuu
008 150323s1999 xx |||||o 00| ||eng c
024 7 |a 10.2307/3318556  |2 doi 
035 |a (DE-627)JST012518182 
035 |a (JST)3318556 
040 |a DE-627  |b ger  |c DE-627  |e rakwb 
041 |a eng 
100 1 |a Schmidli, Hanspeter  |e verfasserin  |4 aut 
245 1 0 |a Compound Sums and Subexponentiality 
264 1 |c 1999 
336 |a Text  |b txt  |2 rdacontent 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
520 |a 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 distributions are subexponential. As an illustration the tail of the maximum of a Björk-Grandell process is obtained. 
540 |a Copyright 1999 International Statistical Institute/Bernoulli Society 
650 4 |a Compound distribution 
650 4 |a Extreme-value theory 
650 4 |a Integrated tail distribution 
650 4 |a Mixed Poisson distribution 
650 4 |a Subexponential distribution 
650 4 |a Mathematics  |x Pure mathematics  |x Probability theory  |x Random variables 
650 4 |a Mathematics  |x Applied mathematics  |x Statistics  |x Applied statistics  |x Descriptive statistics  |x Statistical distributions  |x Distribution functions 
650 4 |a Philosophy  |x Logic  |x Logical argument  |x Counterexamples 
650 4 |a Physical sciences  |x Astronomy  |x Astronomical cosmology  |x Steady state theory 
650 4 |a Mathematics  |x Pure mathematics  |x Probability theory  |x Random variables  |x Stochastic processes 
650 4 |a Behavioral sciences  |x Psychology  |x Cognitive psychology  |x Decision theory  |x Operations research  |x Queuing theory 
650 4 |a Economics  |x Economic disciplines  |x Financial economics  |x Insurance  |x Insurance claims 
650 4 |a Arts  |x Performing arts  |x Music  |x Musical instruments  |x Wind instruments  |x Flutes  |x Neys 
650 4 |a Mathematics  |x Applied mathematics  |x Statistics  |x Random walk 
650 4 |a Applied sciences  |x Technology  |x Tools  |x Measuring instruments  |x Ammeters 
655 4 |a research-article 
773 0 8 |i Enthalten in  |t Bernoulli  |d International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995  |g 5(1999), 6, Seite 999-1012  |w (DE-627)327395354  |w (DE-600)2044340-7  |x 13507265  |7 nnns 
773 1 8 |g volume:5  |g year:1999  |g number:6  |g pages:999-1012 
856 4 0 |u https://www.jstor.org/stable/3318556  |3 Volltext 
856 4 0 |u https://doi.org/10.2307/3318556  |3 Volltext 
912 |a GBV_USEFLAG_A 
912 |a SYSFLAG_A 
912 |a GBV_JST 
912 |a GBV_ILN_11 
912 |a GBV_ILN_20 
912 |a GBV_ILN_22 
912 |a GBV_ILN_23 
912 |a GBV_ILN_24 
912 |a GBV_ILN_31 
912 |a GBV_ILN_39 
912 |a GBV_ILN_40 
912 |a GBV_ILN_60 
912 |a GBV_ILN_62 
912 |a GBV_ILN_63 
912 |a GBV_ILN_65 
912 |a GBV_ILN_69 
912 |a GBV_ILN_70 
912 |a GBV_ILN_73 
912 |a GBV_ILN_90 
912 |a GBV_ILN_95 
912 |a GBV_ILN_100 
912 |a GBV_ILN_105 
912 |a GBV_ILN_110 
912 |a GBV_ILN_120 
912 |a GBV_ILN_151 
912 |a GBV_ILN_161 
912 |a GBV_ILN_170 
912 |a GBV_ILN_213 
912 |a GBV_ILN_230 
912 |a GBV_ILN_285 
912 |a GBV_ILN_293 
912 |a GBV_ILN_370 
912 |a GBV_ILN_374 
912 |a GBV_ILN_602 
912 |a GBV_ILN_702 
912 |a GBV_ILN_2001 
912 |a GBV_ILN_2003 
912 |a GBV_ILN_2005 
912 |a GBV_ILN_2006 
912 |a GBV_ILN_2007 
912 |a GBV_ILN_2008 
912 |a GBV_ILN_2009 
912 |a GBV_ILN_2010 
912 |a GBV_ILN_2011 
912 |a GBV_ILN_2014 
912 |a GBV_ILN_2015 
912 |a GBV_ILN_2018 
912 |a GBV_ILN_2020 
912 |a GBV_ILN_2021 
912 |a GBV_ILN_2026 
912 |a GBV_ILN_2027 
912 |a GBV_ILN_2044 
912 |a GBV_ILN_2050 
912 |a GBV_ILN_2056 
912 |a GBV_ILN_2057 
912 |a GBV_ILN_2061 
912 |a GBV_ILN_2088 
912 |a GBV_ILN_2107 
912 |a GBV_ILN_2110 
912 |a GBV_ILN_2190 
912 |a GBV_ILN_2938 
912 |a GBV_ILN_2947 
912 |a GBV_ILN_2949 
912 |a GBV_ILN_2950 
912 |a GBV_ILN_4012 
912 |a GBV_ILN_4035 
912 |a GBV_ILN_4037 
912 |a GBV_ILN_4046 
912 |a GBV_ILN_4112 
912 |a GBV_ILN_4125 
912 |a GBV_ILN_4126 
912 |a GBV_ILN_4242 
912 |a GBV_ILN_4249 
912 |a GBV_ILN_4251 
912 |a GBV_ILN_4305 
912 |a GBV_ILN_4306 
912 |a GBV_ILN_4307 
912 |a GBV_ILN_4313 
912 |a GBV_ILN_4322 
912 |a GBV_ILN_4323 
912 |a GBV_ILN_4324 
912 |a GBV_ILN_4325 
912 |a GBV_ILN_4326 
912 |a GBV_ILN_4335 
912 |a GBV_ILN_4338 
912 |a GBV_ILN_4346 
912 |a GBV_ILN_4367 
912 |a GBV_ILN_4392 
912 |a GBV_ILN_4393 
912 |a GBV_ILN_4700 
951 |a AR 
952 |d 5  |j 1999  |e 6  |h 999-1012