Subexponentiality and infinite divisibility
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Publication:4181024
Cites work
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3410334 (Why is no real title available?)
- A Lemma on regular variation of a transient renewal function
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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
- Convolution equivalence and infinite divisibility
- The closure of a local subexponential distribution class under convolution roots, with applications to the compound Poisson process
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Ruin problem and how fast stochastic processes mix
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
- Some asymptotic results useful in enumeration problems
- Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions
- Tail behavior of sums and maxima of sums of dependent subexponential random variables
- Subexponential densities of infinitely divisible distributions on the half-line
- Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
- Asymptotic ordering of distribution functions and convolution semigroups
- A new class of large claim size distributions: definition, properties, and ruin theory
- Functionals of infinitely divisible stochastic processes with exponential tails
- Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
- 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
- Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
- Sample path large deviations for Lévy processes and random walks with regularly varying increments
- Transience and recurrence of Markov processes with constrained local time
- Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- On closure properties of heavy-tailed distributions for random sums
- Ruin estimates for large claims
- Infinite divisibility and generalized subexponentiality
- Fall-off of eigenfunctions for non-local Schrödinger operators with decaying potentials
- Tail probabilities of subadditive functionals of Lévy processes.
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
- A Conversation With Paul Embrechts
- Mixed Poisson distributions tail equivalent to their mixing distributions
- Risk processes perturbed by α-stable Lévy motion
- Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
- Lévy-Type Stochastic Integrals with Regularly Varying Tails
- Convolution equivalence and distributions of random sums
- Limit theorems for the sample mean and sample autocovariances of continuous time moving averages driven by heavy-tailed Lévy noise
- On the supremum of an infinitely divisible process
- The structure of the class of subexponential distributions
- On convolution tails
- A note on max-sum equivalence
- Convolution and convolution-root properties of long-tailed distributions
- Subexponential distributions and characterizations of related classes
- Convolutions of Long-Tailed and Subexponential Distributions
- Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
- Multivariate subexponential distributions and their applications
- On two extensions of the canonical Feller-Spitzer distribution
- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- Passage time and fluctuation calculations for subexponential Lévy processes
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Nonexponential asymptotics for the solutions of renewal equations, with applications
- Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
- Subexponentialiy of densities of infinitely divisible distributions
- Asymptotics in the symmetrization inequality
- Quasi-stationary distributions for Lévy processes
- Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
- Association of infinitely divisible random vectors
- Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities
- On regular variation for infinitely divisible random vectors and additive processes
- Darling-Kac theorem for renewal shifts in the absence of regular variation
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Comparison of ruin probability estimates in the presence of heavy tails
- The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
- Local subexponentiality and self-decomposability
- Spatial asymptotics at infinity for heat kernels of integro-differential operators
- On directional convolution equivalent densities
- Two hypotheses on the exponential class in the class of \(O\)-subexponential infinitely divisible distributions
- Asymptotics of infinitely divisible distributions on \({\mathbb{R}}\)
- Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type
- Subexponential distribution functions in \(R^{d}\)
- Approximation and estimation of some compound distributions
- Regular variation and free regular infinitely divisible laws
- Stable Lévy motion approximation in collective risk theory
- The Wiener condition and the conjectures of Embrechts and Goldie
- Equivalent conditions of local asymptotics for the solutions of defective renewal equations, with applications
- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- Externalities in the M/G/1 queue: LCFS-PR versus FCFS
- On asymptotic equivalence among the solutions of some defective renewal equations
- Subexponential potential asymptotics with applications
- Random sums of random variables and vectors: including infinite means and unequal length sums
- Multivariate subexponential distributions
- Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
- Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
- Tail asymptotics for exponential functionals of Lévy processes
- On LIL behaviour for moving averages of some infinitely divisible random measures
- ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
- Extremes of the stochastic heat equation with additive Lévy noise
- Modelling of extremal events in insurance and finance
- The Gerber-Shiu expected discounted penalty function for Lévy insurance risk processes
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- A Lévy input model with additional state-dependent services
- Asymptotic results for heavy-tailed distributions using defective renewal equations
- General inverse problems for regular variation
- Limits of on/off hierarchical product models for data transmission
- Regularly distributed randomly stopped sum, minimum, and maximum
- Tail behavior and almost sure growth rate of superpositions of Ornstein-Uhlenbeck-type processes
- The distribution and asymptotic behaviour of the negative Wiener-Hopf factor for Lévy processes with rational positive jumps
- Functions of discrete probability measures: Rates of convergence in the renewal theorem
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