Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin

DOI10.3150/12-BEJ492zbMath1304.60052arXiv1403.1669MaRDI QIDQ2448699

Jingchen Liu, Jose H. Blanchet

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1669

zbMATH Keywords

Markov processMarkov chainrandom walkconditional distributionconditional central limit theoremmultivariate regularly variationheavy-tail

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Sums of independent random variables; random walks (60G50) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (1)

A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process

Cites Work

• Unnamed Item
• Unnamed Item
• Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
• Efficient rare-event simulation for the maximum of heavy-tailed random walks
• Large deviations results for subexponential tails, with applications to insurance risk
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
• Overshoots and undershoots of Lévy processes
• Functional large deviations for multivariate regularly varying random walks
• Large Deviations for Point Processes Based on Stationary Sequences with Heavy Tails
• Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
• State-dependent importance sampling for regularly varying random walks
• Importance sampling for sums of random variables with regularly varying tails
• Asymptotic robustness of estimators in rare-event simulation
• Applied Probability and Queues
• On Exceedance Times for Some Processes with Dependent Increments
• Heavy-Tail Phenomena
• On regular variation for infinitely divisible random vectors and additive processes

This page was built for publication: Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin