Authors: Klüppelberg, Claudia
Seifert, Miriam Isabel
Title: Explicit results on conditional distributions of generalized exponential mixtures
Language (ISO): en
Abstract: For independent exponentially distributed random variables Xi, i ∈ N with distinct rates λi we consider sums ∑i∈AXi for A⊆N which follow generalized exponential mixture (GEM) distributions. We provide novel explicit results on the conditional distribution of the total sum ∑i∈NXi giventhat a subset sum ∑j∈NXj exceeds a certain threshold value t > 0, and vice versa. Moreover, we investigate the characteristic tail behavior of these conditional distributions for t → ∞,. Finally, we illustrate how our probabilistic results can be applied in practice by providing examples from both reliability theory and risk management.
Subject Headings: conditional distribution
tail behavior
risk management
reliability theory
phase-type distributions
generalized exponential mixture distribution
exponential distribution
Subject Headings (RSWK): Bedingte Wahrscheinlichkeitsverteilung
Zusammengesetzte Verteilung
Issue Date: 2020
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_0220_SFB823_Klüppelberg_Seifert.pdfDNB400.52 kBAdobe PDFView/Open

This item is protected by original copyright

Items in Eldorado are protected by copyright, with all rights reserved, unless otherwise indicated.