Characterizations on Heavy-tailed Distributions by Means of Hazard Rate

被引：19

作者：

Chun Su Qihe TangDepartment of Statistics and Finance University of Science and Technology of China Hefei ChinaDepartment of Quantitative Economics University of Amsterdam Roetersstraat WB Amsterdam Netherland ^{[230026
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机构：

来源：

Acta Mathematicae Applicatae Sinica(English Series) | 2003年 / 01期

关键词：

Equilibrium distribution; Hazard rate; heavy-tailed distribution;

D O I：

暂无

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

<正> Abstract Let F（x）be a distribution function supported on[0,∞],with an equilibrium distribution functionFe（x）.In this paper we shall study the function re（x）=(-In e（x）)'=（x）/∫_∞（u）du,which is calledthe equilibrium hazard rate of F.By the limiting behavior of re（x） we give a criterion to identify F to beheavy-tailed or light-tailed.Two broad classes of heavy-tailed distributions are also introduced and studied.

引用

页码：135 / 142

页数：8