A property of longtailed distributions
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Publication:3317812
DOI10.2307/3213666zbMATH Open0534.60015OpenAlexW2315609123MaRDI QIDQ3317812FDOQ3317812
Authors: Paul Embrechts, Edward Omey 
Publication date: 1984
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3213666
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Cited In (46)
- Characterizations on heavy-tailed distributions by means of hazard rate.
- Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
- Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
- Asymptotics for tail probability of random sums with a heavy-tailed number and dependent increments
- On the long tail property of product convolution
- Approximating the integrated tail distribution
- Asymptotic ordering of distribution functions and convolution semigroups
- Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
- Randomly stopped sums of not identically distributed heavy tailed random variables
- A Conversation With Paul Embrechts
- Ruin estimates for large claims
- A sufficient condition and a necessary condition of a class of subexponential distribution functions
- Precise large deviations for widely orthant dependent random variables with dominatedly varying tails
- Intuitive approximations for the renewal function
- The structure of the class of subexponential distributions
- Convolutions of Long-Tailed and Subexponential Distributions
- Convolution and convolution-root properties of long-tailed distributions
- Generalized moments of sums with heavy-tailed random summands
- Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
- Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
- A wide class of heavy-tailed distributions and its applications
- Precise large deviations for aggregate claims
- A note on the tail behavior of randomly weighted and stopped dependent sums
- Some notes on the positive lattice long-tailed family
- Subexponentiality of the product of independent random variables
- Renewal theory for random variables with a heavy tailed distribution and finite variance
- Modelling of extremal events in insurance and finance
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- On the random max-closure for heavy-tailed random variables
- On a property of subexponential distributions
- Randomly stopped sums with consistently varying distributions
- The class of L ∩ D and its application to renewal reward process
- Approximation of the tail probability of dependent random sums under consistent variation and applications
- Precise large deviations for compound random sums in the presence of dependence structures
- Precise large deviations for dependent random variables with applications to the compound renewal risk model
- Discrete and continuous time modulated random walks with heavy-tailed increments
- A local limit theorem on one-sided large deviations for dominated-variation distributions
- Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
- Estimates for distributions of sums of random variables with subexponential distributions.
- Subexponential distributions and integrated tails
- Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
- Some discussions on the local distribution classes
- Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models
- On the moments of iterated tail
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Randomly stopped maximum and maximum of sums with consistently varying distributions
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