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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 [12] and Goldie [8] 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.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-01490894
Contributor : Olivier Wintenberger <>
Submitted on : Thursday, March 16, 2017 - 10:40:45 AM
Last modification on : Wednesday, June 12, 2019 - 3:30:03 PM
Document(s) archivé(s) le : Saturday, June 17, 2017 - 1:17:26 PM

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  • HAL Id : hal-01490894, version 1
  • ARXIV : 1703.07272

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Thomas Mikosch, Mohsen Rezapour, Olivier Wintenberger. HEAVY TAILS FOR AN ALTERNATIVE STOCHASTIC PERPETUITY MODEL. 2017. ⟨hal-01490894⟩

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