Closure Properties for Heavy-Tailed and Related Distributions: An Overview - Paperback
by Remigijus Leipus (Author), Jonas Siaulys (Author), Dimitrios Konstantinides (Author)
This book provides a compact and systematic overview of closure properties of heavy-tailed and related distributions, including closure under tail equivalence, convolution, finite mixing, maximum, minimum, convolution power and convolution roots, and product-convolution closure. It includes examples and counterexamples that give an insight into the theory and provides numerous references to technical details and proofs for a deeper study of the subject. The book will serve as a useful reference for graduate students, young researchers, and applied scientists.
Remigijus Leipus is a Professor at the Institute of Applied Mathematics, Vilnius University, Lithuania. His research interests include time series analysis, extreme value theory, insurance mathematics, financial econometrics and financial mathematics.
Jonas Siaulys is a Professor at the Institute of Mathematics, Vilnius University, Lithuania. His research interests include probability theory, number theory and insurance mathematics.
Dimitrios Konstantinides is a Professor at the Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi, Greece. His research interests include actuarial mathematics, financial mathematics and risk theory.
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