On the distribution of the maxima of partial sums
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Publication:1922245
DOI10.1016/0167-7152(95)00129-8zbMath0862.60040OpenAlexW2046653347MaRDI QIDQ1922245
Publication date: 25 May 1997
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(95)00129-8
Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)
Related Items (14)
Exponential tail estimates in the law of ordinary logarithm (LOL) for triangular arrays of random variables ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Asymptotic behavior of tail and local probabilities for sums of subexponential random variables ⋮ Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums ⋮ Closure property and maximum of randomly weighted sums with heavy-tailed increments ⋮ Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory ⋮ Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift ⋮ The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables ⋮ Maxima of Sums of Heavy-Tailed Random Variables ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ On the almost decrease of a subexponential density ⋮ Tail behavior of negatively associated heavy-tailed sums ⋮ The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
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