An Introduction to Heavy-Tailed and Subexponential Distributions
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Publication:3083148
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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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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- On upper bounds for the tail distribution of geometric sums of subexponential random variables
- Degree distribution of an inhomogeneous random intersection graph
- 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
- 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
- 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
- On closure properties of heavy-tailed distributions for random sums
- Appendix: A primer on heavy-tailed distributions
- Second-order asymptotics of ruin probabilities for semiexponential claims
- Asymptotic expansion of Gaussian chaos via probabilistic approach
- Boolean convolutions and regular variation
- Estimating the parameters of a tapered Pareto distribution
- Tail behavior of the sums of dependent and heavy-tailed random variables
- Subexponential asymptotics for steady state tail probabilities in a single-server queue with regenerative input flow
- Monotonicity and condensation in homogeneous stochastic particle systems
- On the Laplace transform of the lognormal distribution
- On extremal behavior of Gaussian chaos
- Markov dependence in renewal equations and random sums with heavy tails
- The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
- Refined tail asymptotic properties for the \(M^X/G/1\) retrial queue
- Tail asymptotics for dependent subexponential differences
- Degree and clustering coefficient in sparse random intersection graphs
- An introduction to heavy-tailed and subexponential distributions
- On the asymptotic Laplace method and its application to random chaos
- Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
- Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- On asymptotic equivalence among the solutions of some defective renewal equations
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- Random sums of random variables and vectors: including infinite means and unequal length sums
- On the overflow time of a fluid model
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- On exceedance times for some processes with dependent increments
- Uniform asymptotics for the tail probability of weighted sums with heavy tails
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- Tail asymptotics of the waiting time and the busy period for the \(\mathrm{M}/\mathrm{G}/1/K\) queues with subexponential service times
- On the subexponentiality of the ridgelet transform
- Tail asymptotics for the \(M_1,M_2/G_1,G_2/1\) retrial queue with non-preemptive priority
- Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
- Randomly stopped sums with consistently varying distributions
- Blackwell-type theorems for weighted renewal functions
- Consequences of dispersal heterogeneity for population spread and persistence
- Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
- Tail properties and asymptotic expansions for the maximum of the logarithmic skew-normal distribution
- Tail behavior of randomly weighted sums
- Introduction to complex networks: structure and dynamics
- Consistency of the robust recursive Hammerstein model identification algorithm
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Light-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chains
- Local asymptotics for the time of first return to the origin of transient random walk
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Concentration inequalities for statistical inference
- Accelerating invasions and the asymptotics of fat-tailed dispersal
- Extremes of aggregated Dirichlet risks
- How to measure the accuracy of the subexponential approximation for the stationary single server queue
- Multi-armed bandit with sub-exponential rewards
- 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
- An extension of the concept of slowly varying function with applications to large deviation limit theorems
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Editorial: Latest developments on heavy-tailed distributions
- Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
- 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
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- 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
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- 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
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