Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution

From MaRDI portal
Publication:3808935

DOI10.2307/1427356zbMath0659.60028OpenAlexW2044399602MaRDI QIDQ3808935

Charles M. Goldie, Sidney I. Resnick

Publication date: 1988

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

Full work available at URL: https://doi.org/10.2307/1427356




Related Items (30)

Sample paths of a Lévy process leading to first passage over high levels in finite timeExtremes of subexponential Lévy-driven random fields in the Gumbel domain of attractionPassage time and fluctuation calculations for subexponential Lévy processesApplying of the extreme value theory for determining extreme claims in the automobile insurance sector: case of a China car insuranceExtremes of moving averages of random variables from the domain of attraction of the double exponential distributionLimit Theorems for Marked Hawkes Processes with Application to a Risk ModelLarge deviations results for subexponential tails, with applications to insurance riskOn the exponential max-domain of attraction of the standard log-Fréchet distribution and subexponentialityA new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependenceDiscretization of distributions in the maximum domain of attractionAsymptotics for risk capital allocations based on conditional tail expectationAsymptotics of random contractionsAsymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service timeMultivariate subexponential distributionsLimit theorems for non-Markovian marked dynamic contagion processesOn Exceedance Times for Some Processes with Dependent IncrementsOn optimal investment and subexponential claimsRuin probabilities for risk processes with non-stationary arrivals and subexponential claimsSubexponential asymptotics of the stationary distributions of M/G/1-type Markov chainsA class of risk processes with delayed claims: ruin probability estimates under heavy tail conditionsExtremes on the discounted aggregate claims in a time dependent risk modelMixed Poisson distributions tail equivalent to their mixing distributionsTail Behavior of Weighted Sums of Order Statistics of Dependent RisksAggregation of rapidly varying risks and asymptotic independenceExtremal clustering under moderate long range dependence and moderately heavy tailsFailure rates of regenerative systems with heavy tailsSubexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilitiesOn The Intersection Of Max Domains Of Attraction Ofp-Max Stable Laws and the Class of Subexponential DistributionsTail Properties and Asymptotic Expansions for the Maximum of the Logarithmic Skew-Normal DistributionSubexponentiality of the product of independent random variables




This page was built for publication: Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution