Convolution Equivalence and Infinite Divisibility

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Abstract

Known results relating the tail behaviour of a compound Poisson distribution function to that of its Levy measure when one of them is convolution equivalent are extended to general infinitely divisible distributions. A tail-equivalence result is obtained for random sum distributions in which the summands have a two-sided distribution.
Original languageEnglish
Pages (from-to)407-424
JournalJournal of Applied Probability
Volume41
Issue number2
DOIs
Publication statusPublished - 2004

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