Closure properties for heavy-tailed and related distributions

an overview

Remigijus Leipus, Jonas Šiaulys, Dimitrios Konstantinides (Autoren)

Buch | Softcover

IX, 92 Seiten

2023 | 1. Auflage
Springer International Publishing (Verlag)
978-3-031-34552-4 (ISBN)

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This book provides a compact and systematic overview of closure properties of heavy-tailed and related distributions, including closure under tail equivalence, convolution, finite mixing, maximum, minimum, convolution power and convolution roots, and product-convolution closure. It includes examples and counterexamples that give an insight into the theory and provides numerous references to technical details and proofs for a deeper study of the subject. The book will serve as a useful reference for graduate students, young researchers, and applied scientists.

lt;p>Remigijus Leipus is a Professor at the Institute of Applied Mathematics, Vilnius University, Lithuania. His research interests include time series analysis, extreme value theory, insurance mathematics, financial econometrics and financial mathematics.

Jonas Siaulys is a Professor at the Institute of Mathematics, Vilnius University, Lithuania. His research interests include probability theory, number theory and insurance mathematics.

Dimitrios Konstantinides is a Professor at the Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi, Greece. His research interests include actuarial mathematics, financial mathematics and risk theory.

- 1. Introduction. - 2. Heavy-Tailed and Related Classes of Distributions. - 3. Closure Properties Under Tail-Equivalence, Convolution, Finite Mixing, Maximum, and Minimum. - 4. Convolution-Root Closure. - 5. Product-Convolution of Heavy-Tailed and Related Distributions. - 6. Summary of Closure Properties.

Erscheinungsdatum	05.05.2023
Reihe/Serie	SpringerBriefs in Statistics
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	171 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Themenwelt	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
Schlagworte	asymptotic analysis • Closure Property • Convolution Closure • Convolution-Root Closure • Decision Making • Heavy-tailed distribution • heavy tails • Max-Sum Equivalence • Product-Convolution Closure • Risk Management
ISBN-10	3-031-34552-5 / 3031345525
ISBN-13	978-3-031-34552-4 / 9783031345524
Zustand	Neuware