Document type:
Zeitungsartikel
Author(s):
Klüppelberg, C. and Seifert, M.
Title:
Explicit results on conditional distributions of generalized exponential mixtures
Abstract:
For a set of independent exponentially distributed random variables $X_i$, $i\in \N$ with distinct rates~$\l_i$ we consider sums $\sum_{i\in\A} X_i$ for $\A\subseteq \N$ which follow generalized exponential mixture (GEM) distributions. We provide novel explicit results on the conditional distribution of the total sum $\sum_{i\in \N}X_i$ given that a subset sum $\sum_{j\in \A}X_j$ exceeds a certain threshold value $t>0$, and vice versa. Moreover, we investigate the characteristic tail behavior of...    »

Keywords:
conditional distribution, convolution, exponential distribution, generalized exponential mixture distribution, reliability theory, risk management, tail behavior
Dewey Decimal Classification:
510 Mathematik
Journal title:
Journal of Applied Probability
Year:
2020
Journal volume:
57
Year / month:
2020-09
Quarter:
3. Quartal
Month:
Sep
Journal issue:
Pages contribution:
760-774
Language:
en
Fulltext / DOI:
Publisher:
Cambridge University Press
Print-ISSN:
0021-9002
E-ISSN:
1475-6072
Notes:
Published online by Cambridge University Press: 04 September 2020
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text