Subexponentiality and infinite divisibility

DOI10.1007/BF00535504zbMATH Open0397.60024OpenAlexW2079176310MaRDI QIDQ4181024FDOQ4181024

Paul Embrechts, Noël Veraverbeke, Charles M. Goldie

Publication date: 1979

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00535504

zbMATH Keywords

Compound PoissonInfinite DivisibilityClosure PropertiesFactorization PropertiesLognormal DistributionRegular VariationSubexponential

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99)

Cites Work

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• Title not available (Why is that?)
• On the infinite divisibility of the lognormal distribution
• A general result on infinite divisibility
• One-sided analogues of Karamata's regular variation
• The class of subexponential distributions
• Subexponential distributions and dominated-variation tails
• Degeneracy properties of subcritical branching processes
• Functions of probability measures
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
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• Regular variation of the tail of a subordinated probability distribution
• Some results on regular variation for distributions in queueing and fluctuation theory
• On the Asymptotic Behavior of a Class of Infinitely Divisible Laws
• A Lemma on regular variation of a transient renewal function

Cited In (only showing first 100 items - show all)

• Random walks with non-convolution equivalent increments and their applications
• Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Tail behavior of sums and maxima of sums of dependent subexponential random variables
• Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
• Asymptotic ordering of distribution functions and convolution semigroups
• Functionals of infinitely divisible stochastic processes with exponential tails
• On lower limits and equivalences for distribution tails of randomly stopped sums
• Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
• Tails of subordinated laws: The regularly varying case
• Heavy tails of a Lévy process and its maximum over a random time interval
• Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
• Sample path large deviations for Lévy processes and random walks with regularly varying increments
• Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
• Infinite divisibility and generalized subexponentiality
• A Conversation With Paul Embrechts
• On closure properties of heavy-tailed distributions for random sums
• Ruin estimates for large claims
• Tail probabilities of subadditive functionals of Lévy processes.
• Risk processes perturbed by α-stable Lévy motion
• Fall-off of eigenfunctions for non-local Schrödinger operators with decaying potentials
• Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
• Convolution equivalence and distributions of random sums
• On the supremum of an infinitely divisible process
• The structure of the class of subexponential distributions
• On convolution tails
• Convolutions of Long-Tailed and Subexponential Distributions
• Subexponential distributions and characterizations of related classes
• Convolution and convolution-root properties of long-tailed distributions
• A note on max-sum equivalence
• Nonexponential asymptotics for the solutions of renewal equations, with applications
• Multivariate subexponential distributions and their applications
• Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
• Passage time and fluctuation calculations for subexponential Lévy processes
• Asymptotics in the symmetrization inequality
• Quasi-stationary distributions for Lévy processes
• On regular variation for infinitely divisible random vectors and additive processes
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
• Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
• Asymptotics for the First Passage Times of Lévy Processes and Random Walks
• Subexponential distribution functions in \(R^{d}\)
• Stable Lévy motion approximation in collective risk theory
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• Multivariate subexponential distributions
• Tail asymptotics for exponential functionals of Lévy processes
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Lévy Processes with Two-Sided Reflection
• General inverse problems for regular variation
• A Lévy input model with additional state-dependent services
• Functions of discrete probability measures: Rates of convergence in the renewal theorem
• Regularly distributed randomly stopped sum, minimum, and maximum
• On moments and tail behaviors of storage processes
• A TANDEM QUEUE WITH LÉVY INPUT: A NEW REPRESENTATION OF THE DOWNSTREAM QUEUE LENGTH
• The total claims distribution under inflationary conditions
• Tails in generalized Jackson networks with subexponential service-time distributions
• Tempered stable distributions and processes
• Randomly stopped sums with consistently varying distributions
• Tail behavior of negatively associated heavy-tailed sums
• Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
• \(M/M/\infty\) queue with ON-OFF service speeds
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• Asymptotics of randomly stopped sums in the presence of heavy tails
• Transience and Recurrence of Markov Processes with Constrained Local Time
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
• Probability measures, Lévy measures and analyticity in time
• The Markov branching process with density-independent catastrophes I. Behaviour of extinction probabilities
• On extreme ruinous behaviour of Lévy insurance risk processes
• Tail behavior of random sums of negatively associated increments
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
• Subexponential loss rate asymptotics for Lévy processes
• A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
• Sample function behavior of increasing processes of class \(L\)
• Title not available (Why is that?)
• Maxima of Sums of Heavy-Tailed Random Variables
• Large claims approximations for risk processes in a Markovian environment
• The queue length in an \(M/G/1\) batch arrival retrial queue
• Extremes of autoregressive threshold processes
• A refinement of the coupling method in renewal theory
• Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure
• Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Multivariate subexponential distributions and random sums of random vectors
• The closure of a local subexponential distribution class under convolution roots, with applications to the compound Poisson process
• Convolution equivalence and infinite divisibility
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Ruin problem and how fast stochastic processes mix
• Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions
• Some asymptotic results useful in enumeration problems
• Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
• Subexponential densities of infinitely divisible distributions on the half-line
• A new class of large claim size distributions: definition, properties, and ruin theory
• Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
• On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
• Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts

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