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


  • Hui Xu
  • Michael Scheutzow
  • Yuebao Wang
  • Zhaolei Cui

Słowa kluczowe:

Principle of a single big jump, strongly heavy-tailed distribution, weak tail equivalence, integrated tail distribution


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.






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