Distributions with Heavy Tails in Orlicz Spaces

Dimitrios G. Konstantinides () and Christos E. Kountzakis ()
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Dimitrios G. Konstantinides: University of the Aegean
Christos E. Kountzakis: University of the Aegean

Journal of Theoretical Probability, 2017, vol. 30, issue 4, 1726-1762

Abstract: Abstract This paper relies on the application of Kantorovich functionals on quasi-interior points of the positive cone for certain classes of Orlicz spaces. Particularly we provide the asymptotic calculation of the ruin probability in the renewal risk model under heavy-tailed claims in the Orlicz spaces. This application assures the extension of classical asymptotic theory of regular variation.

Keywords: Quasi-interior point; Separability; Kantorovich functional; 46E30; 97M30 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10959-016-0693-5

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