An Introduction to Heavy-Tailed and Subexponential Distributions
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Publication:3083148
Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Sums of independent random variables; random walks (60G50) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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- Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
- Randomly stopped sums with consistently varying distributions
- Finite time ruin probabilities for tempered stable insurance risk processes
- Blackwell-type theorems for weighted renewal functions
- A robust regression method based on Pearson type VI distribution
- Consequences of dispersal heterogeneity for population spread and persistence
- Interplay of subexponential and dependent insurance and financial risks
- Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
- The class of L ∩ D and its application to renewal reward process
- On a class of heavy tailed distributions arising out of general error distributions
- Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution
- Randomly weighted sums of dependent subexponential random variables with applications to risk theory
- Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
- Subexponentiality of the product of dependent random variables
- Tail asymptotics for the supercritical Galton-Watson process in the heavy-tailed case
- Iterated random functions and regularly varying tails
- Discrete time ruin probability with Parisian delay
- Asymptotics for large claims reinsurance in a time-dependent renewal risk model
- A cylindrical distribution with heavy-tailed linear part
- New asymptotic results for generalized Oppenheim expansions
- Tail behavior of randomly weighted sums
- Introduction to complex networks: structure and dynamics
- On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
- Consistency of the robust recursive Hammerstein model identification algorithm
- Asymptotic optimal investment under interest rate for a class of subexponential distributions
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Local asymptotics for the time of first return to the origin of transient random walk
- Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
- A two-component copula with links to insurance
- Ergodicity of supercritical SDEs driven by \(\alpha \)-stable processes and heavy-tailed sampling
- Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
- Work fluctuations for a confined Brownian particle: the role of initial conditions
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Sample path large deviations for Lévy processes and random walks with Weibull increments
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Concentration inequalities for statistical inference
- Slowly varying asymptotics for signed stochastic difference equations
- Extremes of aggregated Dirichlet risks
- Accelerating invasions and the asymptotics of fat-tailed dispersal
- How to measure the accuracy of the subexponential approximation for the stationary single server queue
- Multi-armed bandit with sub-exponential rewards
- On a new generalization of Pareto distribution and its applications
- Rare events are nonperturbative: primordial black holes from heavy-tailed distributions
- The heavy tailed distributions and relationship between some subsets
- Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
- scientific article; zbMATH DE number 1629910 (Why is no real title available?)
- Heavy-Tail Phenomena
- Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
- Closure property and maximum of randomly weighted sums with heavy-tailed increments
- Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk
- Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
- An extension of the concept of slowly varying function with applications to large deviation limit theorems
- A smoothing direct search method for Monte Carlo-based bound constrained composite nonsmooth optimization
- Upper bounds for the maximum of a random walk with negative drift
- Editorial: Latest developments on heavy-tailed distributions
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Limiting behavior of the gap between the largest two representative points of statistical distributions
- Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
- On upper bounds for the tail distribution of geometric sums of subexponential random variables
- Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
- Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
- Degree distribution of an inhomogeneous random intersection graph
- Tail behavior of sums and maxima of sums of dependent subexponential random variables
- Heavy-tailed distributions in a stochastic gene autoregulation model
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
- Iterated random functions and slowly varying tails
- A new class of large claim size distributions: definition, properties, and ruin theory
- Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
- Inventory model of type \((s,S)\) under heavy tailed demand with infinite variance
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Sample path large deviations for Lévy processes and random walks with regularly varying increments
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Randomly stopped sums of not identically distributed heavy tailed random variables
- Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
- On closure properties of heavy-tailed distributions for random sums
- Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
- Precise large deviations for strong subexponential distributions and applications on a multi risk model
- A Kesten-type bound for sums of randomly weighted subexponential random variables
- Lasso guarantees for \(\beta \)-mixing heavy-tailed time series
- Second-order asymptotics of ruin probabilities for semiexponential claims
- Appendix: A primer on heavy-tailed distributions
- Asymptotic expansion of Gaussian chaos via probabilistic approach
- Tail behavior of sums and differences of log-normal random variables
- State-independent importance sampling for random walks with regularly varying increments
- On Asymptotic Expansion for Mathematical Expectation of a Renewal--Reward Process with Dependent Components and Heavy-Tailed Interarrival Times
- Estimating the parameters of a tapered Pareto distribution
- scientific article; zbMATH DE number 7644303 (Why is no real title available?)
- Stability and heavy-tailness
- Boolean convolutions and regular variation
- Tail behavior of the sums of dependent and heavy-tailed random variables
- Tail approximation for reinsurance portfolios of Gaussian-like risks
- Subexponential asymptotics for steady state tail probabilities in a single-server queue with regenerative input flow
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- An Asymptotic Result on Catastrophe Insurance Losses
- Beyond the hazard rate: more perturbation algorithms for adversarial multi-armed bandits
- Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
- Monotonicity and condensation in homogeneous stochastic particle systems
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