Subexponentiality of the product of independent random variables
From MaRDI portal
Publication:1315403
DOI10.1016/0304-4149(94)90113-9zbMath0799.60015OpenAlexW2010074743MaRDI QIDQ1315403
Gennady Samorodnitsky, Daren B. H. Cline
Publication date: 17 November 1994
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/1813/8877
Related Items (only showing first 100 items - show all)
Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Precise Large Deviations for Sums of Negatively Dependent Random Variables with Common Long-Tailed Distributions ⋮ Tail Behavior of Randomly Weighted Sums ⋮ A note on product-convolution for generalized subexponential distributions ⋮ ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS ⋮ Asymptotics for the partial sum and its maximum of dependent random variables ⋮ Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times ⋮ APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process ⋮ Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory ⋮ Subexponentiality of the product of dependent random variables ⋮ On pairwise quasi-asymptotically independent random variables and their applications ⋮ Precise Large Deviations for the Actual Aggregate Loss Process ⋮ A non-increasing Lindley-type equation ⋮ Precise large deviations for sums of random variables with consistently varying tails ⋮ On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications ⋮ Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models ⋮ The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims ⋮ Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims ⋮ Elementary renewal theorems for widely dependent random variables with applications to precise large deviations ⋮ Fractional Lévy stable motion time-changed by gamma subordinator ⋮ Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate ⋮ The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ The limit property of a risk model based on entrance processes ⋮ Tail asymptotic of Weibull-type risks ⋮ Moderate deviations for the random weighted sums of WUOD random variables with consistently varying tails ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ Uniform asymptotics for the compound risk model with dependence structures and constant force of interest ⋮ Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments ⋮ Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times ⋮ Randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model ⋮ Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums ⋮ Basis risk management and randomly scaled uncertainty ⋮ SERVER WAITING TIMES IN INFINITE SUPPLY POLLING SYSTEMS WITH PREPARATION TIMES ⋮ Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims ⋮ Finite time ruin probability with heavy-tailed insurance and financial risks ⋮ ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION ⋮ Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model ⋮ Extremes and products of multivariate AC-product risks ⋮ Precise large deviations for the difference of two sums of WUOD and non identically distributed random variables with dominatedly varying tails ⋮ Randomly weighted sums of linearly wide quadrant-dependent random variables with heavy tails ⋮ Precise large deviations for the difference of two sums of END random variables with heavy tails ⋮ On extremal behavior of aggregation of largest claims ⋮ On the use of bivariate Mellin transform in bivariate random scaling and some applications ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ Extremal behavior of Archimedean copulas ⋮ A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test ⋮ The subexponentiality of products revisited ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS ⋮ Precise large deviations for sums of WUOD and φ-mixing random variables with dominated variation ⋮ Limit Conditional Distributions for Bivariate Vectors with Polar Representation ⋮ Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims ⋮ Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model ⋮ Asymptotics of Hybrid Fluid Queues with Lévy Input ⋮ The probabilities of absolute ruin in the renewal risk model with constant force of interest ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ On perpetuities with gamma-like tails ⋮ Extremes of subexponential Lévy driven moving average processes ⋮ Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims ⋮ Randomly weighted sums with dominated varying-tailed increments and application to risk theory ⋮ Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims ⋮ The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks ⋮ The finite-time ruin probability of the compound Poisson model with constant interest force ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models ⋮ Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation ⋮ Precise large deviation for the difference of two sums of random variables ⋮ Ruin probabilities in a discrete time risk model with dependent risks of heavy tail ⋮ Large deviations for sum of UEND andφ-mixing random variables with heavy tails ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ A note on the tail behavior of randomly weighted and stopped dependent sums ⋮ Precise Large Deviations for Sums of Independent Random Variables with Consistently Varying Tails ⋮ Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims ⋮ Moderate deviations for sums of dependent claims in a size-dependent renewal risk model ⋮ Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails ⋮ Precise large deviations for sums of two-dimensional random vectors with dependent components of heavy tails ⋮ The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks ⋮ Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. ⋮ The finite time ruin probability with the same heavy-tailed insurance and financial risks ⋮ Precise Large Deviations for Sums of Random Variables with Consistent Variation in Dependent Multi-Risk Models ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Distributions of subadditive functionals of sample paths of infinitely divisible processes
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- More limit theory for the sample correlation function of moving averages
- Convolution tails, product tails and domains of attraction
- Limit theory for the sample covariance and correlation functions of moving averages
- Extreme sojourns of diffusion processes
- On convolution tails
- Multivariate subexponential distributions
- The tail of the convolution of densities and its application to a model of HIV-latency time
- The class of subexponential distributions
- Degeneracy properties of subcritical branching processes
- Functions of probability measures
- Consistency for least squares regression estimators with infinite variance data
- A property of longtailed distributions
- Subexponential distributions and integrated tails
- Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
- On the non-closure under convolution of the subexponential family
- Sojourns and extremes of a diffusion process on a fixed interval
- On the tails of waiting-time distributions
- On R. Von Mises' Condition for the Domain of Attraction of $\exp(-e^{-x})^1$
This page was built for publication: Subexponentiality of the product of independent random variables
