The subexponentiality of products revisited
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Publication:2463677
DOI10.1007/s10687-006-0029-4zbMath1142.60012OpenAlexW2032310532MaRDI QIDQ2463677
Publication date: 16 December 2007
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-006-0029-4
Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)
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Cites Work
- Convolution tails, product tails and domains of attraction
- Subexponentiality of the product of independent random variables
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Convolution equivalence and infinite divisibility
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