Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models

DOI10.1111/J.1467-842X.2004.00320.XzbMATH Open1068.60033MaRDI QIDQ4665409FDOQ4665409

A. Baltrunas, Claudia Klüppelberg

Publication date: 11 April 2005

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

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zbMATH Keywords

first passage timesbusy periodfinite time ruin probabilitytransient random walkBaxter-Spitzer identity

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cited In (8)

• Performance analysis with truncated heavy-tailed distributions
• Approximating the integrated tail distribution
• Monotonicity and condensation in homogeneous stochastic particle systems
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• The general principle for precise large deviations of heavy-tailed random sums
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
• Uniform approximations for the \(M/G/1\) queue with subexponential processing times

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