The conjectures of Embrechts and Goldie
Probability
2015-11-05 v1
Abstract
It is shown that the class of convolution equivalent distributions and the class of locally subexponential distributions are not closed under convolution roots. Moreover, two sufficient conditions for the closure under convolution roots of the class of convolution equivalent distributions are given.
Keywords
Cite
@article{arxiv.1511.01246,
title = {The conjectures of Embrechts and Goldie},
author = {Toshiro Watanabe},
journal= {arXiv preprint arXiv:1511.01246},
year = {2015}
}
Comments
15 pages