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Perpetuities with thin tails
Published online by Cambridge University Press: 01 July 2016
Abstract
We investigate the behaviour of P(R ≧ r) and P(R ≦ −r) as r → ∞for the random variable where is an independent, identically distributed sequence with P(− 1 ≦ M ≦ 1) = 1. Random variables of this type appear in insurance mathematics, as solutions of stochastic difference equations, in the analysis of probabilistic algorithms and elsewhere. Exponential and Poissonian tail behaviour can arise.
Keywords
MSC classification
- Type
- General Applied Probability
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- Copyright
- Copyright © Applied Probability Trust 1996
Footnotes
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Present address: School of Mathematical Sciences, University of Sussex, Brighton, BN1 9QH, UK.
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