Perpetuities with thin walls

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Article ID:	iaor1997688
Country:	United Kingdom
Volume:	28
Issue:	2
Start Page Number:	463
End Page Number:	480
Publication Date:	Jun 1996
Journal:	Advances in Applied Probability
Authors:	Grbel Rudolf, Goldie Charles M.
Keywords:	differential equations

Abstract:

The authors investigate the behaviour of equ1 nd equ2 as equ3 for the random variable equ4 , where equ5 is an independent, identically distributed sequence with equ6 . 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.

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