Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities

DOI10.1214/AOAP/1028903531zbMATH Open0942.60034OpenAlexW2139154839MaRDI QIDQ1296735FDOQ1296735

Søren Asmussen

Publication date: 16 August 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903531

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zbMATH Keywords

heavy tailsextreme valuesruin probabilitycycle maximumstorage process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites Work

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• How large delays build up in a GI/G/1 queue
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• The Recurrence Classification of Risk and Storage Processes

Cited In (88)

• 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
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments
• 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
• Maximum on a random time interval of a random walk with infinite mean
• A note on discounted compound renewal sums under dependency
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• A local limit theorem for random walk maxima with heavy tails
• Stochastic Duality of Markov Processes: A Study Via Generators
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• On the distribution of surplus immediately after ruin under interest force and subexponential claims
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Applications of factorization embeddings for Lévy processes
• THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS
• A Lévy Process Reflected at a Poisson Age Process
• Ruin under interest force and subexponential claims: a simple treatment.
• Subexponential asymptotics of the stationary distributions of M/G/1-type Markov chains
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• 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
• Tandem queues with subexponential service times and finite buffers
• Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times
• Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Power estimates for ruin probabilities
• Information ranking and power laws on trees
• ON AN EQUIVALENCE BETWEEN LOSS RATES AND CYCLE MAXIMA IN QUEUES AND DAMS
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
• Fork-join and redundancy systems with heavy-tailed job sizes
• On the infimum attained by a reflected Lévy process
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• On asymptotic equivalence among the solutions of some defective renewal equations
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Tail asymptotics for exponential functionals of Lévy processes
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Lévy Processes with Two-Sided Reflection
• Asymptotic behaviour of first passage time distributions for subordinators
• Phantom distribution functions for some stationary sequences
• Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory
• On moments and tail behaviors of storage processes
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method
• On occupation times for a risk process with reserve-dependent premium
• Upper Bounds for the Maximum of a Random Walk with Negative Drift
• 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.
• On the ruin probabilities for a general perturbed renewal risk process
• Patterns of buffer overflow in a class of queues with long memory in the input stream
• Stability and busy periods in a multiclass queue with state-dependent arrival rates
• 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
• Loss rates in the single-server queue with complete rejection
• Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift
• Clusters of extremes: modeling and examples
• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• Subexponential asymptotics of hybrid fluid and ruin models
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution
• Rare events in stochastic processes with sub-exponential distributions and the big jump principle
• Problems of ruin and survival in economics: applications of limit theorems in probability
• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
• Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
• Lévy-driven GPS queues with heavy-tailed input
• Sub-exponential rate of convergence to equilibrium for processes on the half-line
• Directional phantom distribution functions for stationary random fields
• Large deviations and fast simulation in the presence of boundaries.
• Asymptotics of the order statistics for a process with a regenerative structure
• Shot-noise queueing models
• State-independent Importance Sampling for Random Walks with Regularly Varying Increments
• Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors

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