Convolution tails, product tails and domains of attraction

DOI10.1007/BF00344720zbMATH Open0577.60019MaRDI QIDQ1065452FDOQ1065452

Publication date: 1986

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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zbMATH Keywords

extreme values regular variation domain of attraction exponential tail convolution tails stable domain of attraction

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05)

Cites Work

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Limit theory for the sample covariance and correlation functions of moving averages
On convolution tails
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One-sided analogues of Karamata's regular variation
The class of subexponential distributions
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More limit theory for the sample correlation function of moving averages
A Theorem on Products of Random Variables, With Application to Regression
Functions of probability measures

Cited In (99)

The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables
Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
Tail asymptotics of light-tailed Weibull-like sums
The full solution of the convolution closure problem for convolution- equivalent distributions
Weighted sums of subexponential random variables and their maxima
On the long tail property of product convolution
The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
Asymptotic ordering of distribution functions and convolution semigroups
The probabilities of absolute ruin in the renewal risk model with constant force of interest
Functionals of infinitely divisible stochastic processes with exponential tails
Dependence and the asymptotic behavior of large claims reinsurance
Degree-degree dependencies in directed networks with heavy-tailed degrees
Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Extreme value theory for spatial random fields -- with application to a Lévy-driven field
Extremes of Lévy driven mixed MA processes with convolution equivalent distributions
Consistency for least squares regression estimators with infinite variance data
The structure of the class of subexponential distributions
Time series regression on integrated continuous-time processes with heavy and light tails
Subexponential distributions and characterizations of related classes
A note on max-sum equivalence
Nonexponential asymptotics for the solutions of renewal equations, with applications
Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
On a class of Lévy processes
Convolution equivalent Lévy processes and first passage times
Path decomposition of ruinous behavior for a general Lévy insurance risk process
The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
Tandem queues with subexponential service times and finite buffers
Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
On the almost decrease of a subexponential density
Subexponential distribution functions in \(R^{d}\)
The Wiener condition and the conjectures of Embrechts and Goldie
Cyclic queueing networks with subexponential service times
Tail asymptotics for a random sign Lindley recursion
ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
Subexponential potential asymptotics with applications
Sums of Dependent Nonnegative Random Variables with Subexponential Tails
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
Subexponentiality of the product of independent random variables
Multivariate subexponential distributions
The subexponentiality of products revisited
Modelling of extremal events in insurance and finance
On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
The product distribution of dependent random variables with applications to a discrete-time risk model
Ruin probabilities in perturbed risk models
Domains of attraction for exponential families.
A TANDEM QUEUE WITH LÉVY INPUT: A NEW REPRESENTATION OF THE DOWNSTREAM QUEUE LENGTH
Robust score and portmanteau tests of volatility spillover
Second-order asymptotics for convolution of distributions with light tails
On sums of independent random variables whose distributions belong to the max domain of attraction of max stable laws
From light tails to heavy tails through multiplier
Tail Asymptotics of the Supremum of a Regenerative Process
Extremes on the discounted aggregate claims in a time dependent risk model
Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
Large deviations of a sum of independent random variables with distributions with rapidly decreasing tails
Branching random walk with infinite progeny mean: a tale of two tails
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
On asymptotic behavior of the convolution of distributions with regularly exponentially decreasing tails
Excursion sets of infinitely divisible random fields with convolution equivalent Lévy measure
On a closure property of convolution equivalent class of distributions
Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
Maxima of Sums of Heavy-Tailed Random Variables
Large claims approximations for risk processes in a Markovian environment
Extremes of subexponential Lévy driven moving average processes
The max-INAR(1) model for count processes
Extremal memory of stochastic volatility with an application to tail shape inference
The queue length in an \(M/G/1\) batch arrival retrial queue
Some asymptotic results for sums of dependent random variables, with actuarial applications
Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
Ruin probability in the presence of interest earnings and tax payments
The subexponential product convolution of two Weibull-type distributions
Multivariate subexponential distributions and random sums of random vectors
Convolution equivalence and infinite divisibility
Suprema and sojourn times of Lévy processes with exponential tails
Random difference equations with subexponential innovations
Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
Joint stable attraction of two sums of products
Asymptotic results on tail moment for light-tailed risks
Continuous scaled phase-type distributions
Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
Scaling limit of sub-ballistic 1D random walk among biased conductances: \textit{a story of wells and walls}
On large deviations of a sum of independent random variables with rapidly decreasing distribution tails
Homogeneous mappings of regularly varying vectors
On the extremes of a class of non-linear processes with heavy tailed innovations
Joint tail of ECOMOR and LCR reinsurance treaties
Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
Extremal dependence of random scale constructions
Interplay of subexponential and dependent insurance and financial risks
A note on product-convolution for generalized subexponential distributions
Iterated random functions and regularly varying tails
Subexponential interval graphs generated by immigration-death processes
Exact upper tail probabilities of random series
Convolution closure properties of subexponential densities
Ruin with insurance and financial risks following the least risky FGM dependence structure
On the convolution equivalence of tempered stable distributions on the real line

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