Random vectors with HNBUE-type marginal distributions

✍ Scribed by Franco Pellerey

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 87 KB
• Volume: 50
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(00)00102-4

✦ Synopsis

The problem of the preservation of non-parametric life distributions classes under addition of life lengths has been extensively studied in literature. In literature, however, independence among the random life lengths is often assumed. Here we show that for the HNBUE life distributions class (and for some other larger classes) this preservation property can be extended to non-independent summands, and, as a consequence, that convergence in law is equivalent to moment convergence within the family of random vectors with marginals in these classes. Related results, with an application in portfolio choice theory, are shown too.