Rojas-Nandayapa, Leonardo ORCID: 0000-0001-5652-3183 and Xie, Wangyue
(2015)
Asymptotic tail behavior of phase-type scale mixture distributions.
Annals of Actuarial Science, 12 (2).
pp. 412-432.
Text
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Abstract
We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable $Y$ and a nonnegative but otherwise arbitrary random variable $S$ called the scaling random variable. We investigate conditions for such a class of distributions to be either light- or heavy-tailed, we explore subexponentiality and determine their maximum domains of attraction. Particular focus is given to phase-type scale mixture distributions where the scaling random variable $S$ has discrete support --- such a class of distributions has been recently used in risk applications to approximate heavy-tailed distributions. Our results are complemented with several examples.
Item Type: | Article |
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Additional Information: | 18 pages, 0 figure |
Uncontrolled Keywords: | math.PR, math.PR |
Depositing User: | Symplectic Admin |
Date Deposited: | 31 May 2017 09:26 |
Last Modified: | 19 Jan 2023 07:03 |
DOI: | 10.1017/s1748499517000136 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3007722 |