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Titel:

Explicit results on conditional distributions of generalized exponential mixtures

Dokumenttyp:
Zeitungsartikel
Autor(en):
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...     »
Stichworte:
conditional distribution, convolution, exponential distribution, generalized exponential mixture distribution, reliability theory, risk management, tail behavior
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Journal of Applied Probability
Jahr:
2020
Band / Volume:
57
Jahr / Monat:
2020-09
Quartal:
3. Quartal
Monat:
Sep
Heft / Issue:
3
Seitenangaben Beitrag:
760-774
Sprache:
en
Volltext / DOI:
doi:10.1017/jpr.2020.26
WWW:
Journal of Applied Probability
Verlag / Institution:
Cambridge University Press
Print-ISSN:
0021-9002
E-ISSN:
1475-6072
Hinweise:
Published online by Cambridge University Press: 04 September 2020
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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