Related papers: Closure properties in positively decreasing and re…
This paper is organized in three parts closely related to closure properties of heavy-tailed distributions and heavy-tailed random vectors. In the first part we consider two random variables X and Y with distributions F and G respectively.…
Relations between subexponential densities and locally subexponential distributions are discussed. It is shown that the class of subexponential densities is neither closed under convolution roots nor closed under asymptotic equivalence. A…
We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max"…
Non-closedness of subexponentiality by the convolution operation is well-known. We go a step further and show that subexponentiality and non-subexponentiality are generally changeable by the convolution. We also give several conditions, by…
We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…
In this paper we introduce and study the class of multivariate strong and strongly subexponential distributions. Some first properties are verified, as for example a type of multivariate analogue of Kesten's inequality, the closure property…
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…
We completely characterize $\Delta$- and local subexponentialities of positive-half compound Poisson distributions and extend the characterization on two-sided distributions. Moreover, $\Delta$-subexponentiality of infinitely divisible…
In this paper we introduce and study several multivariate, heavy-tailed distribution classes, and we explore their closure properties and their applications. We consider the class of multivariate, positively decreasing distributions, and…
The asymptotic tail behaviour of sums of independent subexponential random variables is well understood, one of the main characteristics being the principle of the single big jump. We study the case of dependent subexponential random…
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…
We use the properties of the Matuszewska indices to show asymptotic inequalities for hazard rates. We discuss the relation between membership in the classes of dominatedly or extended rapidly varying tail distributions and corresponding…
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…
For a subexponential density, so far, there has been no positive conclusion or counter example to show whether it is almost decreasing. In this paper, a subexponential density supported on $\mathbb{R}^+\cup\{0\}$ without the almost decrease…
We show the equivalence of three properties for an infinitely divisible distribution: the subexponentiality of the density, the subexponentiality of the density of its L\'evy measure and the tail equivalence between the density and its…
Convolutions of long-tailed and subexponential distributions play a major role in the analysis of many stochastic systems. We study these convolutions, proving some important new results through a simple and coherent approach, and showing…
The key result of this paper is to characterize all the multivariate symmetric Bernoulli distributions whose sum is minimal under convex order. In doing so, we automatically characterize extremal negative dependence among Bernoulli random…
Motivated by recently investigated results on dependence measures and robust risk models, this paper provides an overview of dependence properties of many well-known bivariate copula families, where the focus is on the Schur order for…
In this paper, we revisit pattern mining and study the distribution underlying a binary dataset thanks to the closure structure which is based on passkeys, i.e., minimum generators in equivalence classes robust to noise. We introduce…
We characterize the subexponential densities on $(0,\infty)$ for compound Poisson distributions on $[0,\infty)$ with absolutely continuous L\'evy measures. As a corollary, we show that the class of all subexponential probability density…