Heavy tails for an alternative stochastic perpetuity model
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Heavy tails for an alternative stochastic perpetuity model. / Mikosch, Thomas; Rezapour, Mohsen; Wintenberger, Olivier.
In: Stochastic Processes and Their Applications, Vol. 129, No. 11, 2019, p. 4638-4662.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Heavy tails for an alternative stochastic perpetuity model
AU - Mikosch, Thomas
AU - Rezapour, Mohsen
AU - Wintenberger, Olivier
PY - 2019
Y1 - 2019
N2 - In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten (1973) and Goldie (1991) all discount factors in the model are mutually independent. We prove that the tails of the distribution of this model are regularly varying both in the univariate and multivariate cases. Due to the additional randomness in the model the tails are not pure power laws as in the Kesten–Goldie setting but involve a logarithmic term.
AB - In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten (1973) and Goldie (1991) all discount factors in the model are mutually independent. We prove that the tails of the distribution of this model are regularly varying both in the univariate and multivariate cases. Due to the additional randomness in the model the tails are not pure power laws as in the Kesten–Goldie setting but involve a logarithmic term.
KW - Change of measure
KW - Heavy tail
KW - Kesten–Goldie theory
KW - Large deviation
KW - Perpetuity
KW - Power-law tail
UR - http://www.scopus.com/inward/record.url?scp=85059299640&partnerID=8YFLogxK
U2 - 10.1016/j.spa.2018.12.008
DO - 10.1016/j.spa.2018.12.008
M3 - Journal article
AN - SCOPUS:85059299640
VL - 129
SP - 4638
EP - 4662
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
SN - 0304-4149
IS - 11
ER -
ID: 238856906