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arxiv: 1501.07458 · v5 · pith:CH4OMG5Onew · submitted 2015-01-29 · 🧮 math.PR

Convolution and convolution-root properties of long-tailed distributions

classification 🧮 math.PR
keywords long-taileddistributionspropertiesconvolutiongeneralisedsubexponentialunderclass
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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" operations on heavy-tailed random variables. We analyse the closedness property under convolution roots for these distributions. Namely, we introduce two classes of heavy-tailed distributions that are not long-tailed and study their properties. These examples help to provide further insights and, in particular, to show that the properties to be both long-tailed and so-called "generalised subexponential" are not preserved under the convolution roots. This leads to a negative answer to a conjecture of Embrechts and Goldie [10, 12] for the class of long-tailed and generalised subexponential distributions. In particular, our examples show that the following is possible: an infinitely divisible distribution belongs to both classes, while its Levy measure is neither long-tailed nor generalised subexponential.

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