Closure properties of convolution and convolution roots of second-order subexponential distribution
As an important heavy tail distribution,subexponential distribution was widely used in finance and actuarial fields because of its ability to describe large claims.With the further development of risk model research,the second-order subexponential distribution was firstly proposed in 2008.Compared with the first-order subexponential distribution,its asymptotic expression was more accurate,so the research on the second-order subexponential distribution had attracted extensive attention in recent years.In this paper,the closure of the convolution and the convolution roots of second-order subexponential distribution were considered.First,the closure of second-order subexponential distribution on the family of second-order subexponential distribution under proportional equivalence was given,and then the convolution closure of second-order subexponential distribution was obtained.Finally,the conclusion about the closure of convolution roots was obtained.This paper expanded the research results of second-order subexponential distribution,which had important theoretical significance for future related research.
万方数据
维普
