Heavy tails for an alternative stochastic perpetuity model
Research output: Contribution to journal › Journal article › Research › peer-review
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.
| Original language | English |
|---|---|
| Journal | Stochastic Processes and Their Applications |
| Volume | 129 |
| Issue number | 11 |
| Pages (from-to) | 4638-4662 |
| Number of pages | 25 |
| ISSN | 0304-4149 |
| DOIs | |
| Publication status | Published - 2019 |
- Change of measure, Heavy tail, Kesten–Goldie theory, Large deviation, Perpetuity, Power-law tail
Research areas
Links
- https://arxiv.org/pdf/1703.07272.pdf
Submitted manuscript
ID: 238856906