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The Wiener condition and the conjectures of Embrechts and Goldie

Authors :
Toshiro Watanabe
Source :
Ann. Probab. 47, no. 3 (2019), 1221-1239
Publication Year :
2019
Publisher :
The Institute of Mathematical Statistics, 2019.

Abstract

We show that the class of convolution equivalent distributions and the class of locally subexponential distributions are not closed under convolution roots. It gives a negative answer to the classical conjectures of Embrechts and Goldie. Moreover, we establish two sufficient conditions in order that the class of convolution equivalent distributions is closed under convolution roots.

Details

Language :
English
Database :
OpenAIRE
Journal :
Ann. Probab. 47, no. 3 (2019), 1221-1239
Accession number :
edsair.doi.dedup.....fe67165422405a344955c2e78a21e94a