Subexponential distributions and integrated tails

Subexponential distributions and integrated tails

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Article ID: iaor1988709
Country: United Kingdom
Volume: 25
Issue: 1
Start Page Number: 132
End Page Number: 141
Publication Date: Mar 1988
Journal: Journal of Applied Probability
Authors:
Keywords: queues: theory, risk
Abstract:

Let F be a distribution function on [0,•) with finite expectation. In terms of the hazard rate of F several conditions are given which simultaneously imply subexponentiality of F and of its integrated tail distribution F1. These conditions apply to a wide class of longtailed distributions, and they can also be used in connection with certain random walks which occur in risk theory and queueing theory.

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