An Introduction to Heavy-Tailed and Subexponential Distributions
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Sums of independent random variables; random walks (60G50) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Characterization and structure theory of statistical distributions (62E10) Statistics of extreme values; tail inference (62G32)
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Cited in
(only showing first 100 items - show all)- On upper bounds for the tail distribution of geometric sums of subexponential random variables
- Monotonicity and condensation in homogeneous stochastic particle systems
- Consistency of the robust recursive Hammerstein model identification algorithm
- Interplay of subexponential and dependent insurance and financial risks
- A two-component copula with links to insurance
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Semi-heavy tails
- Inventory model of type \((s,S)\) under heavy tailed demand with infinite variance
- The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
- Tail asymptotics for dependent subexponential differences
- Degree and clustering coefficient in sparse random intersection graphs
- Appendix: A primer on heavy-tailed distributions
- A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
- Estimating the parameters of a tapered Pareto distribution
- Multi-armed bandit with sub-exponential rewards
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Slowly varying asymptotics for signed stochastic difference equations
- Rare events are nonperturbative: primordial black holes from heavy-tailed distributions
- Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
- Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
- Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
- Moments of the first descending epoch for a random walk with negative drift
- Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk
- Sample path large deviations for Lévy processes and random walks with regularly varying increments
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Local stability in a transient Markov chain
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- Tail asymptotics for the \(M_1,M_2/G_1,G_2/1\) retrial queue with non-preemptive priority
- Maximum of catalytic branching random walk with regularly varying tails
- Sample path large deviations for Lévy processes and random walks with Weibull increments
- Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
- Asymptotic results for conditional measures of association of a random sum
- A Kesten-type bound for sums of randomly weighted subexponential random variables
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
- A cylindrical distribution with heavy-tailed linear part
- The finite-time ruin probability for an inhomogeneous renewal risk model
- Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
- Accelerating invasions and the asymptotics of fat-tailed dispersal
- ECOMOR and LCR reinsurance with gamma-like claims
- Tail asymptotics for the supercritical Galton-Watson process in the heavy-tailed case
- Closure property and maximum of randomly weighted sums with heavy-tailed increments
- Finite time ruin probabilities for tempered stable insurance risk processes
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Tail behavior of the sums of dependent and heavy-tailed random variables
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Subexponentiality of the product of dependent random variables
- Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
- scientific article; zbMATH DE number 1629910 (Why is no real title available?)
- Heavy-tailed models in finance and insurance: a survey
- Randomly stopped sums of not identically distributed heavy tailed random variables
- An extension of the concept of slowly varying function with applications to large deviation limit theorems
- Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution
- Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
- Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
- On the Laplace transform of the lognormal distribution
- Introduction to complex networks: structure and dynamics
- On extremal behavior of aggregation of largest claims
- The heavy tailed distributions and relationship between some subsets
- Tail behavior of randomly weighted sums
- A smoothing direct search method for Monte Carlo-based bound constrained composite nonsmooth optimization
- On the overflow time of a fluid model
- Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
- A non-exponential extension of Sanov's theorem via convex duality
- Concentration inequalities for statistical inference
- The class of L ∩ D and its application to renewal reward process
- Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
- Randomly stopped sums with consistently varying distributions
- How to measure the accuracy of the subexponential approximation for the stationary single server queue
- On extremal behavior of Gaussian chaos
- Degree distribution of an inhomogeneous random intersection graph
- On closure properties of heavy-tailed distributions for random sums
- scientific article; zbMATH DE number 1221798 (Why is no real title available?)
- scientific article; zbMATH DE number 1301888 (Why is no real title available?)
- scientific article; zbMATH DE number 2080855 (Why is no real title available?)
- Asymptotic behavior of random time absolute ruin probability with D L tailed and conditionally independent claim sizes
- Beyond the hazard rate: more perturbation algorithms for adversarial multi-armed bandits
- Asymptotics for large claims reinsurance in a time-dependent renewal risk model
- Tail approximation for reinsurance portfolios of Gaussian-like risks
- Asymptotic optimal investment under interest rate for a class of subexponential distributions
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Discrete time ruin probability with Parisian delay
- Subexponential asymptotics for steady state tail probabilities in a single-server queue with regenerative input flow
- Boolean convolutions and regular variation
- Randomly weighted sums of dependent subexponential random variables with applications to risk theory
- Markov dependence in renewal equations and random sums with heavy tails
- Uniform asymptotics for the tail probability of weighted sums with heavy tails
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- Iterated random functions and regularly varying tails
- Tail asymptotics of the waiting time and the busy period for the \(\mathrm{M}/\mathrm{G}/1/K\) queues with subexponential service times
- Extremes of aggregated Dirichlet risks
- On the subexponentiality of the ridgelet transform
- Blackwell-type theorems for weighted renewal functions
- Consequences of dispersal heterogeneity for population spread and persistence
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
- An introduction to heavy-tailed and subexponential distributions
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