Subexponential distributions and characterizations of related classes

Cites Work

Cited In (83)

Random walks with non-convolution equivalent increments and their applications
Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
Estimation of ruin probabilities by means of hazard rates
On upper bounds for the tail distribution of geometric sums of subexponential random variables
Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
The full solution of the convolution closure problem for convolution- equivalent distributions
Asymptotic ordering of risks and ruin probabilities
The overshoot of a random walk with negative drift
Subexponential densities of infinitely divisible distributions on the half-line
Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
Asymptotic ordering of distribution functions and convolution semigroups
Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions
Subexponential densities of compound Poisson sums and the supremum of a random walk
Infinite divisibility and generalized subexponentiality
The perturbed compound Poisson risk process with investment and debit interest
A local limit theorem for random walk maxima with heavy tails
Tail behavior of the sums of dependent and heavy-tailed random variables
Convolution equivalence and distributions of random sums
Asymptotics of convolution with the semi-regular-variation tail and its application to risk
Monotonicity and condensation in homogeneous stochastic particle systems
Approximations for moments of deficit at ruin with exponential and subexponential claims.
Nonexponential asymptotics for the solutions of renewal equations, with applications
Ruin probabilities and overshoots for general Lévy insurance risk processes
Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
Convolution equivalent Lévy processes and first passage times
Path decomposition of ruinous behavior for a general Lévy insurance risk process
Tail behavior of supremum of a random walk when Cramér's condition fails
Spatial asymptotics at infinity for heat kernels of integro-differential operators
On the constant in the definition of subexponential distributions
Some comparison results for finite-time ruin probabilities in the classical risk model
The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
Semi-heavy tails
On the almost decrease of a subexponential density
On a transformation between distributions obeying the principle of a single big jump
Ruin probabilities under Sarmanov dependence structure
On asymptotic equivalence among the solutions of some defective renewal equations
Equivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate case
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
On the class of distributions of subordinated Lévy processes and bases
Modelling of extremal events in insurance and finance
Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues
The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
On the absolute ruin in a map risk model with debit interest
The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
Lundberg-type bounds and asymptotics for the moments of the time to ruin
On tail dependence coefficients of transformed multivariate Archimedean copulas
Strongly subexponential distributions and Banach algebras of measures
Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
Tail behavior of randomly weighted sums
The uniform local asymptotics for a Lévy process and its overshoot and undershoot
On a closure property of convolution equivalent class of distributions
Asymptotics for the first passage times of Lévy processes and random walks
Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
Pricing of catastrophe insurance options written on a loss index with reestimation
Title not available (Why is that?)
The queue length in an \(M/G/1\) batch arrival retrial queue
On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
Asymptotics for the moments of the overshoot and undershoot of a random walk
The subexponential product convolution of two Weibull-type distributions
Asymptotics for solutions of a defective renewal equation with applications
Compound kernel estimates for the transition probability density of a Lévy process in \(\mathbb R^{n}\)
One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications
Title not available (Why is that?)
Title not available (Why is that?)
Precise tail behaviour of some Dirichlet series
Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities
On directional convolution equivalent densities
Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
Second order subexponentiality and infinite divisibility
Title not available (Why is that?)
A note on product-convolution for generalized subexponential distributions
Minimum of dependent random variables with convolution-equivalent distributions
Exponential densities and compound Poisson measures
Iterated random functions and regularly varying tails
On corrected phase-type approximations of the time value of ruin with heavy tails
On the closure under infinitely divisible distribution roots
Asymptotic behaviour of the distribution density of the fractional Lévy motion
Convolution closure properties of subexponential densities
A local asymptotic behavior for ruin probability in the renewal risk model

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