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1 Probability and Mathematical Statistics

1 2016

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On the structure of a class of distributions obeying the principle of a single big jump

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Xu H. , Scheutzow M. , Wang Y. , Cui Z.

Probability and Mathematical Statistics

2016

tom Vol. 36, Fasc. 1

121--135

In this paper, we present several heavy-tailed distributions belonging to the new class J of distributions obeying the principle of a single big jump introduced by Beck et al. (2015). We describe the structure of this class from different angles. First, we show that heavy-tailed distributions in the class J are automatically strongly heavy-tailed and thus have tails which are not too irregular. Second, we show that such distributions are not necessarily weakly tail equivalent to a subexponential distribution. We also show that the class of heavy-tailed distributions in J which are neither long-tailed nor dominatedly-varying-tailed is not only non-empty but even quite rich in the sense that it has a non-empty intersection with several other well-established classes. In addition, the integrated tail distribution of some particular of these distributions shows that the Pakes-Veraverbeke-Embrechts theorem for the class J does not hold trivially.