Heavy tails for an alternative stochastic perpetuity model

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Standard

Heavy tails for an alternative stochastic perpetuity model. / Mikosch, Thomas; Rezapour, Mohsen; Wintenberger, Olivier.

I: Stochastic Processes and Their Applications, Bind 129, Nr. 11, 2019, s. 4638-4662.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Mikosch, T, Rezapour, M & Wintenberger, O 2019, 'Heavy tails for an alternative stochastic perpetuity model', Stochastic Processes and Their Applications, bind 129, nr. 11, s. 4638-4662. https://doi.org/10.1016/j.spa.2018.12.008

APA

Mikosch, T., Rezapour, M., & Wintenberger, O. (2019). Heavy tails for an alternative stochastic perpetuity model. Stochastic Processes and Their Applications, 129(11), 4638-4662. https://doi.org/10.1016/j.spa.2018.12.008

Vancouver

Mikosch T, Rezapour M, Wintenberger O. Heavy tails for an alternative stochastic perpetuity model. Stochastic Processes and Their Applications. 2019;129(11):4638-4662. https://doi.org/10.1016/j.spa.2018.12.008

Author

Mikosch, Thomas ; Rezapour, Mohsen ; Wintenberger, Olivier. / Heavy tails for an alternative stochastic perpetuity model. I: Stochastic Processes and Their Applications. 2019 ; Bind 129, Nr. 11. s. 4638-4662.

Bibtex

@article{d5b3e5b68b6749f5aea6f2fcee81abba,
title = "Heavy tails for an alternative stochastic perpetuity model",
abstract = "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.",
keywords = "Change of measure, Heavy tail, Kesten–Goldie theory, Large deviation, Perpetuity, Power-law tail",
author = "Thomas Mikosch and Mohsen Rezapour and Olivier Wintenberger",
year = "2019",
doi = "10.1016/j.spa.2018.12.008",
language = "English",
volume = "129",
pages = "4638--4662",
journal = "Stochastic Processes and their Applications",
issn = "0304-4149",
publisher = "Elsevier BV * North-Holland",
number = "11",

}

RIS

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