Performance analysis with truncated heavy-tailed distributions

DOI10.1007/s11009-005-5002-1zbMath1102.68408OpenAlexW2032754526MaRDI QIDQ2433244

Mats Pihlsgård, Soren Asmussen

Publication date: 27 October 2006

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-005-5002-1

zbMATH Keywords

regular variationruin probabilityLévy processinsurance risk

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Related Items (7)

Corrected Phase-Type Approximations of Heavy-Tailed Queueing Models in a Markovian Environment ⋮ A discrete truncated Zipf distribution ⋮ Performance analysis with truncated heavy-tailed distributions ⋮ Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not? ⋮ Sample path large deviations for Lévy processes and random walks with Weibull increments ⋮ Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

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• Applied Probability and Queues
• Fast simulation of rare events in queueing and reliability models
• Improved algorithms for rare event simulation with heavy tails

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