Explicit results on conditional distributions of generalized exponential mixtures


For independent exponentially distributed random variables Xi, i ∈ N with distinct rates λi we consider sums ∑i∈AXi for A⊆N which follow generalized exponential mixture (GEM) distributions. We provide novel explicit results on the conditional distribution of the total sum ∑i∈NXi giventhat a subset sum ∑j∈NXj exceeds a certain threshold value t > 0, and vice versa. Moreover, we investigate the characteristic tail behavior of these conditional distributions for t → ∞,. Finally, we illustrate how our probabilistic results can be applied in practice by providing examples from both reliability theory and risk management

Similar works

Full text


Eldorado - Ressourcen aus und für Lehre, Studium und Forschung

Last time updated on 18/03/2020

Having an issue?

Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.