On closedness under convolution roots related to an infinitely divisible distribution in the distribution class L(\gamma)

Abstract

We consider questions related to the well-known conjecture due to Embrechts and Goldie on the closedness of different classes of heavy- and light-tailed distributions with respect to convolution roots. We show that the class L(\gamma)\cap OS is not closed under convolution roots related to an infinitely divisible distribution for any \gamma\ge0, i.e. we provide examples of infinitely divisible distributions belonging to this class such that the corresponding Levy spectral distribution does not. We also prove a similar statement for the class (L(\gamma)\cap OS)\ S(\gamma). In order to facilitate our analysis, we explore the structural properties of some of the classes of distributions, and study some properties of the well-known transformation from a heavy-tailed distribution to a light-tailed one.