An example of a heavy tailed distribution.
| dc.contributor.author | Giraldo Gómez, Norman | spa |
| dc.date.accessioned | 2011-10-13T19:33:45Z | |
| dc.date.available | 2011-10-13T19:33:45Z | |
| dc.date.issued | 2011-10-13 | |
| dc.description.abstract | We study some properties of the distribution function of a random variable of the form X = CD, where C and D are independent random variables. We assume that C is absolutely continuous and limited to a nite interval, such that its probability density function has de nite limits at the endpoints of the interval and D is exponentially distributed. We show that the tail function ¹ F(:) := 1 ¡ F(¢) is of regular variation and that the distribution function F is asymptotically equivalent to a log-gamma distribution. Then F can be considered as a heavy tailed distribution. It is also shown that it is contained is an special subclass of the subexponential distributions. | spa |
| dc.identifier.uri | https://hdl.handle.net/10893/1704 | |
| dc.language.iso | en | spa |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | spa |
| dc.subject | Regular variation | spa |
| dc.subject | Subexponential distributions | spa |
| dc.subject | Heavy tailed distributions | spa |
| dc.subject | Probability of ruin | spa |
| dc.subject | Decreasing hazard rate function | spa |
| dc.title | An example of a heavy tailed distribution. | spa |
| dc.type | Artículo de revista | spa |
| dspace.entity.type | Publication |