Maxima of Sums of Heavy-Tailed Random Variables
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Cites work
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- A Generalization of an Inequality of Lévy
- Convolution tails, product tails and domains of attraction
- Functionals of infinitely divisible stochastic processes with exponential tails
- Functions of probability measures
- Large deviations for heavy-tailed random sums in compound renewal model
- On convolution tails
- On the distribution of the maxima of partial sums
- On the supremum of an infinitely divisible process
- Remarks on suprema of Lévy processes with light tailes
- Subexponentiality and infinite divisibility
- Suprema of compound Poisson processes with light tails.
- The supremum of a process with stationary independent and symmetric increments
Cited in
(49)- Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
- The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
- On the non-closure under convolution for strong subexponential distributions
- Risk measures and multivariate extensions of Breiman's theorem
- Tail asymptotics of light-tailed Weibull-like sums
- Exponential tail estimates in the law of ordinary logarithm (LOL) for triangular arrays of random variables
- Tail asymptotics of random sum and maximum of log-normal risks
- Weighted sums of subexponential random variables and their maxima
- Maxima of sums and random sums for random variables with dominately varying tails
- Some asymptotic results about a kind of heavy-tailed random walk with application in risk theory
- Heavy tails of a Lévy process and its maximum over a random time interval
- Asymptotics for ratios with applications to reinsurance
- Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
- Tails of random sums of a heavy-tailed number of light-tailed terms
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- On closure properties of heavy-tailed distributions for random sums
- Weak max-sum equivalence for dependent heavy-tailed random variables
- Maxima of Independent Sums in the Presence of Heavy Tails
- Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
- On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails
- Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
- scientific article; zbMATH DE number 6288723 (Why is no real title available?)
- On the maximum of randomly weighted sums with regularly varying tails
- Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
- Tail asymptotics of fluid queues in a distributed server system fed by a heavy-tailed ON-OFF flow
- A note on the tail behavior of randomly weighted and stopped dependent sums
- Uniform asymptotics for the tail probability of weighted sums with heavy tails
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- On the random max-closure for heavy-tailed random variables
- Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory
- Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory
- Tail behavior of negatively associated heavy-tailed sums
- Asymptotics of randomly stopped sums in the presence of heavy tails
- Approximation of the tail probability of dependent random sums under consistent variation and applications
- Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
- Tail behavior of random sums of negatively associated increments
- A note on randomly stopped sums with zero mean increments
- The local max-sum equivalence of real valued random walks with heavy-tailed increments following FGM copula
- Maxima of sums and random sums for negatively associated random variables with heavy tails
- The maximum of randomly weighted sums with long tails in insurance and finance
- Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
- Tail risk driven by investment losses and exogenous shocks
- Precise large deviations for randomly weighted sums of negatively dependent random variables with consistently varying tails
- Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
- Closure property and maximum of randomly weighted sums with heavy-tailed increments
- Randomly stopped maximum and maximum of sums with consistently varying distributions
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