Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
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Publication:3077754
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Cites work
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 54039 (Why is no real title available?)
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- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
- Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time
- Asymptotic expansions of convolutions of regularly varying distributions
- Asymptotic ruin probabilities when exponential moments do not exist
- Asymptotics of randomly stopped sequences with independent increments
- Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
- On subordinated distributions and generalized renewal measures
- Rates in approximations to ruin probabilities for heavy-tailed distributions
- Second Order Behaviour of Ruin Probabilities
- Second order behaviour of the tail of a subordinated probability distribution
- Second order tail behaviour of a subordinated probability distribution
- Subexponential distributions and integrated tails
- Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics
- Tails of subordinated laws: The regularly varying case
- Theory prob. appl.
- Uniform renewal theory with applications to expansions of random geometric sums
- Waiting-time tail probabilities in queues with long-tail service-time distributions
Cited in
(16)- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
- High order expansions for renewal functions and applications to ruin theory
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Fourier-cosine method for ruin probabilities
- Asymptotic expansions and hazard rates for compound and first-passage distributions
- Functional sensitivity analysis of ruin probability in the classical risk models
- An asymptotic expansion for the tail of compound sums of Burr distributed random variables
- scientific article; zbMATH DE number 4121212 (Why is no real title available?)
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Tail asymptotic expansions for \(L\)-statistics
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