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Abstract In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten (1973) and Goldie (1991) all discount factors in the… Click to show full abstract
Abstract In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten (1973) and Goldie (1991) 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.
Keywords:
perpetuity;
perpetuity model;
heavy tails;
alternative stochastic;
model;
tails alternative
Journal Title: Stochastic Processes and their Applications
Year Published: 2019
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Journal Title: Stochastic Processes and their Applications
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!