Perpetuities with thin tails
Authors:
- Charles M. GoldieCGCharles M. Goldie
- Rudolf GrübelRGRudolf Grübel
- 1 June 1996
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 28 (2) , 463-480
Abstract
We investigate the behaviour of P(R ≧ r) and P(R ≦ −r) as r → ∞for the random variable where is an independent, identically distributed sequence with P(− 1 ≦ M ≦ 1) = 1. Random variables of this type appear in insurance mathematics, as solutions of stochastic difference equations, in the analysis of probabilistic algorithms and elsewhere. Exponential and Poissonian tail behaviour can arise.Keywords
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