Explicit results on conditional distributions of generalized exponential mixtures

Claudia Klüppelberg, Miriam Isabel Seifert

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

For independent exponentially distributed random variables, with distinct rates we consider sums for which follow generalized exponential mixture distributions. We provide novel explicit results on the conditional distribution of the total sum given that a subset sum exceeds a certain threshold value 0 ]]>, and vice versa. Moreover, we investigate the characteristic tail behavior of these conditional distributions for. Finally, we illustrate how our probabilistic results can be applied in practice by providing examples from both reliability theory and risk management.

Original languageEnglish
Pages (from-to)760-774
Number of pages15
JournalJournal of Applied Probability
Volume57
Issue number3
DOIs
StatePublished - 1 Sep 2020

Keywords

  • Conditional distribution
  • convolution
  • exponential distribution
  • generalized exponential mixture distribution
  • phase-type distributions
  • reliability theory
  • risk management
  • tail behavior

Fingerprint

Dive into the research topics of 'Explicit results on conditional distributions of generalized exponential mixtures'. Together they form a unique fingerprint.

Cite this