Loading...
Please wait, while we are loading the content...
Similar Documents
Explicit results on conditional distributions of generalized exponential mixtures
| Content Provider | Scilit |
|---|---|
| Author | Klüppelberg, Claudia Seifert, Miriam Isabel |
| Copyright Year | 2020 |
| Description | For independent exponentially distributed random variables $X_i$ , $i\in {\mathcal{N}}$ , with distinct rates ${\lambda}_i$ we consider sums $\sum_{i\in\mathcal{A}} X_i$ for $\mathcal{A}\subseteq {\mathcal{N}}$ which follow generalized exponential mixture distributions. We provide novel explicit results on the conditional distribution of the total sum $\sum_{i\in {\mathcal{N}}}X_i$ given that a subset sum $\sum_{j\in \mathcal{A}}X_j$ exceeds a certain threshold value $t>0$ , and vice versa. Moreover, we investigate the characteristic tail behavior of these conditional distributions for $t\to\infty$ . Finally, we illustrate how our probabilistic results can be applied in practice by providing examples from both reliability theory and risk management. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/446410589851DF8BEB2F9488BFC9913A/S0021900220000261a.pdf/div-class-title-explicit-results-on-conditional-distributions-of-generalized-exponential-mixtures-div.pdf |
| Ending Page | 774 |
| Page Count | 15 |
| Starting Page | 760 |
| ISSN | 00219002 |
| e-ISSN | 14756072 |
| DOI | 10.1017/jpr.2020.26 |
| Journal | Journal of applied probability |
| Issue Number | 3 |
| Volume Number | 57 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2020-09-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of applied probability Mathematical Physics Conditional Distribution Exponential Distribution Generalized Exponential Mixture Distribution type Distributions Reliability Theory Risk Management Tail Behavior |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistics, Probability and Uncertainty |
