An Introduction to Heavy-Tailed and Subexponential Distributions

DOI10.1007/978-1-4419-9473-8zbMATH Open1250.62025OpenAlexW4292334561MaRDI QIDQ3083148FDOQ3083148

Authors: Stan Zachary, Sergey Foss, Dmitry Korshunov 

Publication date: 18 March 2011

Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4419-9473-8

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zbMATH Keywords

random walksconvolutionsrandom sums

Mathematics Subject Classification ID

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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• Inventory model of type \((s,S)\) under heavy tailed demand with infinite variance
• Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
• Tail behavior of sums and differences of log-normal random variables
• A Kesten-type bound for sums of randomly weighted subexponential 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
• Tail approximation for reinsurance portfolios of Gaussian-like risks
• Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Critical fluctuations in renewal models of statistical mechanics
• Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Maximum of catalytic branching random walk with regularly varying tails
• Large fluctuations and transport properties of the Lévy-Lorentz gas
• Semi-heavy tails
• Heavy-tailed models in finance and insurance: a survey
• Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Asymptotic results for conditional measures of association of a random sum
• Local stability in a transient Markov chain
• Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
• A non-exponential extension of Sanov's theorem via convex duality
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Some Improvements on Markov's Theorem with Extensions
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• ECOMOR and LCR reinsurance with gamma-like claims
• The Inverted Exponentiated Gamma Distribution: A Heavy-Tailed Model with Upside Down Bathtub Shaped Hazard Rate
• The finite-time ruin probability for an inhomogeneous renewal risk model
• Moments of the first descending epoch for a random walk with negative drift
• Finite time ruin probabilities for tempered stable insurance risk processes
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• Interplay of subexponential and dependent insurance and financial risks
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Subexponentiality of the product of dependent random variables
• 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
• Tail asymptotics for the supercritical Galton-Watson process in the heavy-tailed case
• A cylindrical distribution with heavy-tailed linear part
• Asymptotic optimal investment under interest rate for a class of subexponential distributions
• Work fluctuations for a confined Brownian particle: the role of initial conditions
• Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
• A two-component copula with links to insurance
• Sample path large deviations for Lévy processes and random walks with Weibull increments
• Slowly varying asymptotics for signed stochastic difference equations
• On a new generalization of Pareto distribution and its applications
• The heavy tailed distributions and relationship between some subsets
• Rare events are nonperturbative: primordial black holes from heavy-tailed distributions
• 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
• 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
• Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
• Heavy-tailed distributions in a stochastic gene autoregulation model
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• Precise large deviations for strong subexponential distributions and applications on a multi risk model
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• Stability and heavy-tailness
• 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
• Continuous scaled phase-type distributions
• Delay-minimizing capacity allocation in an infinite server-queueing system
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• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Externalities in the M/G/1 queue: LCFS-PR versus FCFS
• Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• Dynamics of a randomly kicked particle
• A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
• The impact of a network split on cascading failure processes
• An example of a heavy tailed distribution
• On extremal behavior of aggregation of largest claims
• A robust regression method based on Pearson type VI distribution
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• On a class of heavy tailed distributions arising out of general error distributions
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• Limiting behavior of the gap between the largest two representative points of statistical distributions
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• Tail behavior of sums and maxima of sums of dependent subexponential random variables
• Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
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• Iterated random functions and slowly varying tails
• A new class of large claim size distributions: definition, properties, and ruin theory
• 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 of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• Lasso guarantees for \(\beta \)-mixing heavy-tailed time series

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