Perpetuities with thin tails
- authored by
- Charles M. Goldie, Rudolf Grübel
- 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.
- Organisation(s)
-
Institute of Actuarial and Financial Mathematics
- External Organisation(s)
-
Queen Mary University of London
University of Sussex
- Type
- Article
- Journal
- Advances in applied probability
- Volume
- 28
- Pages
- 463-480
- No. of pages
- 18
- ISSN
- 0001-8678
- Publication date
- 06.1996
- Publication status
- Published
- Peer reviewed
- Yes
- ASJC Scopus subject areas
- Statistics and Probability, Applied Mathematics
- Electronic version(s)
-
https://doi.org/10.1017/S0001867800048576 (Access:
Closed)
