Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
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Cites work
- scientific article; zbMATH DE number 4013703 (Why is no real title available?)
- scientific article; zbMATH DE number 4013713 (Why is no real title available?)
- scientific article; zbMATH DE number 4012931 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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- scientific article; zbMATH DE number 934477 (Why is no real title available?)
- Conditioned limit theorems for random walks with negative drift
- Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
- Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Extreme Values in the GI/G/1 Queue
- Extremes and related properties of random sequences and processes
- How large delays build up in a GI/G/1 queue
- Limiting Distribution of the Maximum Term in Sequences of Dependent Random Variables
- Markov chain models - rarity and exponentiality
- Martingales and insurance risk
- Maxima and exceedances of stationary Markov chains
- Residual life time at great age
- Ruin estimates under interest force
- Ruin probabilities expressed in terms of storage processes
- Ruin probabilities in the presence of heavy-tails and interest rates
- Ruin probabilities via local adjustment coefficients
- Stationary M/G/1 excursions in the presence of heavy tails
- Storage processes with general release rule and additive inputs
- Subexponential distributions and integrated tails
- The Recurrence Classification of Risk and Storage Processes
- The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule
Cited in
(89)- The finite-time ruin probability of the compound Poisson model with constant interest force
- Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails
- Statistical analysis of the end-to-end delay of packet transfers in a peer-to-peer network
- Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
- The probabilities of absolute ruin in the renewal risk model with constant force of interest
- Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
- Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
- The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
- State-independent importance sampling for random walks with regularly varying increments
- Maximum on a random time interval of a random walk with infinite mean
- Asymptotics of discounted aggregate claims for renewal risk model with risky investment
- A note on discounted compound renewal sums under dependency
- A local limit theorem for random walk maxima with heavy tails
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Uniform asymptotics for discounted aggregate claims in dependent risk models
- On the distribution of surplus immediately after ruin under interest force and subexponential claims
- Ruin under interest force and subexponential claims: a simple treatment.
- Applications of factorization embeddings for Lévy processes
- Subexponential asymptotics of the stationary distributions of M/G/1-type Markov chains
- A Lévy Process Reflected at a Poisson Age Process
- Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution
- Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
- Rare events in stochastic processes with sub-exponential distributions and the big jump principle
- 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
- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
- Quenched phantom distribution functions for Markov chains
- On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times
- Problems of ruin and survival in economics: applications of limit theorems in probability
- Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
- A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
- Information ranking and power laws on trees
- On the infimum attained by a reflected Lévy process
- ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
- Power estimates for ruin probabilities
- Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
- Fork-join and redundancy systems with heavy-tailed job sizes
- On asymptotic equivalence among the solutions of some defective renewal equations
- Lévy-driven GPS queues with heavy-tailed input
- Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
- Stochastic duality of Markov processes: A study via generators
- Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
- Tail asymptotics for exponential functionals of Lévy processes
- Directional phantom distribution functions for stationary random fields
- Sub-exponential rate of convergence to equilibrium for processes on the half-line
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
- Asymptotic behaviour of first passage time distributions for subordinators
- On exceedance times for some processes with dependent increments
- Phantom distribution functions for some stationary sequences
- Large deviations and fast simulation in the presence of boundaries.
- Extreme values statistics for Markov chains via the (pseudo-) regenerative method
- Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory
- Local asymptotics of the cycle maximum of a heavy-tailed random walk
- On moments and tail behaviors of storage processes
- Asymptotics of the order statistics for a process with a regenerative structure
- On occupation times for a risk process with reserve-dependent premium
- Lévy processes with two-sided reflection
- On hitting the high level by a random walk with delay at the origin
- The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
- Patterns of buffer overflow in a class of queues with long memory in the input stream
- On the ruin probabilities for a general perturbed renewal risk process
- Stability and busy periods in a multiclass queue with state-dependent arrival rates
- Shot-noise queueing models
- On the inefficiency of state-independent importance sampling in the presence of heavy tails
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Asymptotic analysis of a risk process with high dividend barrier
- On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
- Ruin probability in a one-sided linear model with constant interest rate
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Transient Asymptotics of Lévy-Driven Queues
- Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift
- Loss rates in the single-server queue with complete rejection
- Clusters of extremes: modeling and examples
- Subexponential asymptotics of hybrid fluid and ruin models
- Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
- The subexponential product convolution of two Weibull-type distributions
- The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
- Upper bounds for the maximum of a random walk with negative drift
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