Subexponential distributions and dominated-variation tails

DOI10.2307/3213416MaRDI QIDQ4157718zbMATH OpenOpenAlexFDO

Authors Charles M. Goldie

Publication date 1978

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

Full work available at URL https://doi.org/10.2307/3213416

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Cited in

(27)

• Infinite divisibility and generalized subexponentiality
• The structure of the class of subexponential distributions
• Sufficient conditions for the subexponential property of the convolution of two distributions
• Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• On the random max-closure for heavy-tailed random variables
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• A note on product-convolution for generalized subexponential distributions
• Multivariate subexponential distributions and their applications
• Externalities in the M/G/1 queue: LCFS-PR versus FCFS
• Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• Subexponentiality and infinite divisibility
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• New results for tails of probability distributions according to their asymptotic decay
• Generalized moments of sums with heavy-tailed random summands
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Maximum on a random time interval of a random walk with infinite mean
• Failure rates of regenerative systems with heavy tails
• Some properties of subexponential distributions
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Extremes of the stochastic heat equation with additive Lévy noise
• Tail probabilities of St. Petersburg sums, trimmed sums, and their limit
• Ruin probability of the renewal model with risky investment and large claims
• Second order behaviour of ruin probabilities in the case of large claims
• The Markov branching process with density-independent catastrophes I. Behaviour of extinction probabilities

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