Subexponential distributions and integrated tails

From MaRDI portal
Publication:3796465

DOI10.2307/3214240zbMath0651.60020OpenAlexW2325901369MaRDI QIDQ3796465

Claudia Klüppelberg

Publication date: 1988

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214240




Related Items (only showing first 100 items - show all)

The maximum on a random time interval of a random walk with long-tailed increments and negative drift.A local limit theorem for random walk maxima with heavy tailsCharacterizations on heavy-tailed distributions by means of hazard rate.Randomly stopped sums of not identically distributed heavy tailed random variablesSome asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claimsAsymptotics for the finite-time ruin probability of a risk model with a general counting processAsymptotic behavior of generalized processor sharing queues under subexponential assumptionsThe probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distributionLarge claims approximations for risk processes in a Markovian environmentRegularly varying non-stationary Galton-Watson processes with immigrationDiscrete and continuous time modulated random walks with heavy-tailed incrementsHarmonic renewal sequences when the mean is infiniteRandomly stopped sums with consistently varying distributionsOn the asymptotics of one-sided large deviation probabilitiesThe asymptotic behavior of one-sided large deviation probabilities. IIA local limit theorem on one-sided large deviations for dominated-variation distributionsThe asymptotic behavior of one-sided large deviation probabilities. IRuin estimates for large claimsOn the random max-closure for heavy-tailed random variablesLarge deviations results for subexponential tails, with applications to insurance riskRandom walks with non-convolution equivalent increments and their applicationsThe finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbationSufficient conditions for the subexponential property of the convolution of two distributionsLower limits and equivalences for convolution tailsAn asymptotic of high order moments of renewalLight-tailed asymptotics of \(\mathrm{GI}/\mathrm{G}/1\)-type Markov chainsAsymptotic behaviour of the finite-time ruin probability under subexponential claim sizesSecond order behaviour of ruin probabilities in the case of large claimsAsymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tailsUniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk modelThe finite-time ruin probability of a risk model with a general counting process and stochastic returnOn a perturbed MAP risk model under a threshold dividend strategyLocal subexponentiality and self-decomposabilityRenewal theory for random variables with a heavy tailed distribution and finite varianceOn a closure property of convolution equivalent class of distributionsUniform asymptotics of the finite-time ruin probability for all timesAsymptotic behavior of product of two heavy-tailed dependent random variablesSubexponential densities of compound Poisson sums and the supremum of a random walkAsymptotics of randomly stopped sums in the presence of heavy tailsIterated random functions and slowly varying tailsOn tail dependence coefficients of transformed multivariate Archimedean copulasUniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rateAsymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusionThe local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summandsLocal asymptotics of a Markov modulated random walk with heavy-tailed incrementsThe asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tailsAsymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival timesFinite-horizon ruin probability asymptotics in the compound discrete-time risk modelSecond order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claimsOn the time value of absolute ruin with taxThe asymptotic of harmonic renewal measuresRandomly weighted sums of subexponential random variables with application to capital allocationAsymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service timeConvolution equivalence and distributions of random sumsLarge deviations for random walks under subexponentiality: The big-jump domainRandomly stopped maximum and maximum of sums with consistently varying distributionsAsymptotic ordering of risks and ruin probabilitiesA wide class of heavy-tailed distributions and its applicationsAsymptotic results for tail probabilities of sums of dependent and heavy-tailed random variablesEstimates for the finite-time ruin probability with insurance and financial risksTail behaviour of the busy period of a GI/GI/1 queue with subexponential service timesThe extremal behaviour over regenerative cycles for Markov additive processes with heavy tailsAsymptotics in the symmetrization inequalityThe closure of the convolution equivalent distribution class under convolution roots with applications to random sumsThe perturbed compound Poisson risk process with investment and debit interestTail asymptotics for the queue length in an M/G/1 retrial queueLundberg-type bounds and asymptotics for the moments of the time to ruinSensitivity analysis on ruin probabilities with heavy-tailed claimsSecond order subexponential distributions with finite mean and their applications to subordinated distributionsSubexponential asymptotics of the stationary distributions of M/G/1-type Markov chainsOn the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tailsEquivalent conditions of local asymptotics for the solutions of defective renewal equations, with applicationsSome new equivalent conditions on asymptotics and local asymptotics for random sums and their applicationsTail behavior of the sums of dependent and heavy-tailed random variablesInterplay of insurance and financial risks in a discrete-time model with strongly regular variationLévy Processes with Two-Sided ReflectionRuin probability and local ruin probability in the random multi-delayed renewal risk modelThe uniform local asymptotics for a Lévy process and its overshoot and undershootAsymptotics for solutions of a defective renewal equation with applicationsEstimation of ruin probabilities by means of hazard ratesSubexponential distributions and characterizations of related classesAsymptotic ordering of distribution functions and convolution semigroupsMaximum on a random time interval of a random walk with infinite meanUniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claimsEquivalent conditions of asymptotics for the density of the supremum of a random walk in the Intermediate caseSome properties of subexponential distributionsHeavy tails of a Lévy process and its maximum over a random time intervalUniform approximation of the tail probability of weighted sums of subexponential random variablesThe rate of convergence for subexponential distributionsFailure rates of regenerative systems with heavy tailsA note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk modelSubexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilitiesThe first passage event for sums of dependent Lévy processes with applications to insurance riskThe probability of exceeding a high boundary on a random time interval for a heavy-tailed random walkPolynomial ergodicity of Markov transition kernels.Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.Sampling at subexponential times, with queueing applicationsPersistence of autoregressive sequences with logarithmic tailsSubexponentiality of the product of independent random variablesThe full solution of the convolution closure problem for convolution- equivalent distributions






This page was built for publication: Subexponential distributions and integrated tails