Heavy tails of a Lévy process and its maximum over a random time interval (Q763680): Difference between revisions

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+On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
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+Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
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+The supremum of a process with stationary independent and symmetric increments
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+Q5292403
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+Suprema and sojourn times of Lévy processes with exponential tails
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+Suprema of compound Poisson processes with light tails.
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+Tail probabilities of subadditive functionals on stable processes with continuous and discrete time
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+On a class of Lévy processes
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+Normal rank
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+Tail probabilities of subadditive functionals of Lévy processes.
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+Functionals of infinitely divisible stochastic processes with exponential tails
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+Financial Modelling with Jump Processes
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+Tail asymptotics for the supremum of a random walk when the mean is not finite
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+Asymptotics of randomly stopped sums in the presence of heavy tails
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+Subexponentiality and infinite divisibility
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+Normal rank
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+Q4343010
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+Normal rank
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+Modeling teletraffic arrivals by a Poisson cluster process
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+The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
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+The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
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+Subexponential distributions and integrated tails
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+Normal rank
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+Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Tail asymptotics for exponential functionals of Lévy processes
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+Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
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+Maxima of Sums of Heavy-Tailed Random Variables
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+Convolution equivalence and infinite divisibility
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+Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
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+Tails of random sums of a heavy-tailed number of light-tailed terms
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+Distributions of subadditive functionals of sample paths of infinitely divisible processes
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+Infinite divisibility and generalized subexponentiality
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+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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+A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails
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+Sample function behavior of increasing processes of class \(L\)
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+On the supremum of an infinitely divisible process
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