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Title:

Explicit results on conditional distributions of generalized exponential mixtures

Document type:
Zeitungsartikel
Author(s):
Klüppelberg, C.; Seifert, M.
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:
3
Pages contribution:
760-774
Language:
en
Fulltext / DOI:
doi:10.1017/jpr.2020.26
WWW:
Journal of Applied Probability
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
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