Title: Heavy tails for an alternative stochastic perpetuity model
Authors: Olivier Wintenberger - Sorbonne University (France) [presenting]
Thomas Mikosch - University of Copenhagen (Denmark)
Mohsen Rezapour - Shahid Bahonar University of Kerman (Iran)
Abstract: A stochastic model of perpetuity-type is considered. In contrast to the classical affine perpetuity model, all discount factors in the model are mutually independent. We prove that the tails of the distribution of this model are regularly varying both in the univariate and multivariate cases. Due to the additional randomness in the model the tails are not pure power laws as in the classical setting, but involve a logarithmic term.