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Subexponential distributions and integrated tails

Published online by Cambridge University Press:  14 July 2016

Claudia Klüppelberg
Claudia Klüppelberg*
Affiliation:
Universität Mannheim
*
∗ Postal address: Seminar für Statistik, Universität Mannheim, D-6800 Mannheim, West Germany.
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Abstract

Let F be a distribution function on [0,∞) with finite expectation. In terms of the hazard rate of F several conditions are given which simultaneously imply subexponentiality of F and of its integrated tail distribution F1. These conditions apply to a wide class of longtailed distributions, and they can also be used in connection with certain random walks which occur in risk theory and queueing theory.

Keywords

INTEGRATED TAIL DISTRIBUTIONSUBEXPONENTIALITYDOMINATED VARIATIONRANDOM WALK THEORYRISK THEORYQUEUEING THEORY
Type
Research Papers
Information
Journal of Applied Probability , Volume 25 , Issue 1 , March 1988 , pp. 132 - 141
Copyright
Copyright © Applied Probability Trust 1988 

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