Random difference equations with subexponential innovations (Q525896): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Random difference equations with subexponential innovations	scientific article

Statements

scholarly article

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Random difference equations with subexponential innovations (English)

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Science China. Mathematics

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publication date

5 May 2017

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zbMATH Keywords

random difference equations

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tail probabilities

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weak solutions

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asymptotics

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Karamata index

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subexponentiality

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11425-016-0146-0

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Tail behaviour of stationary solutions of random difference equations: the case of regular matrices

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Extremes on the discounted aggregate claims in a time dependent risk model

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Asymptotics for risk capital allocations based on conditional tail expectation

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Stochastic Models with Power-Law Tails

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Large deviations for solutions to stochastic recurrence equations under Kesten's condition

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Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems

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Explicit stationary distributions for compositions of random functions and products of random matrices

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Ruin probabilities with insurance and financial risks having an FGM dependence structure

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Precise large deviations of aggregate claims in a size-dependent renewal risk model

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Convolution tails, product tails and domains of attraction

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Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

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On a Theorem of Breiman and a Class of Random Difference Equations

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The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

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On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)]\) and a property of gamma distributions

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Iterated random functions and slowly varying tails

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An Introduction to Heavy-Tailed and Subexponential Distributions

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Implicit renewal theory and tails of solutions of random equations

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Perpetuities with thin tails

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Regular variation in the tail behaviour of solutions of random difference equations

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Perpetuities with thin tails revisited

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Renorming divergent perpetuities

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Dependence Modeling with Copulas

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Random difference equations and renewal theory for products of random matrices

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A note on the Kesten-Grincevičius-Goldie theorem

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Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations

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Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices

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Interplay of insurance and financial risks in a discrete-time model with strongly regular variation

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Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

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The present value of a stochastic perpetuity and the gamma distribution

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An introduction to copulas.

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Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors

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The subexponentiality of products revisited

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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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Randomly weighted sums of subexponential random variables with application to capital allocation

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On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

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Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

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Tail behavior of the product of two dependent random variables with applications to risk theory

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S11425-016-0146-0

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Sitelinks

Mathematics(1 entry)

mardi Publication:525896

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