Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory
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Cites work
- scientific article; zbMATH DE number 29935 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 759559 (Why is no real title available?)
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
- Asymptotic expansions of convolutions of regularly varying distributions
- Asymptotics for sums of random variables with local subexponential behaviour
- Convolutions of Long-Tailed and Subexponential Distributions
- Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
- Hazard rates and subexponential distributions
- Maxima of Sums of Heavy-Tailed Random Variables
- On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
- On the distribution of the maxima of partial sums
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Second order subexponential distributions with finite mean and their applications to subordinated distributions
- The rate of convergence for subexponential distributions
Cited in
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- scientific article; zbMATH DE number 5733814 (Why is no real title available?)
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Second order behaviour of ruin probabilities in the case of large claims
- Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
- Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- Second-order properties of tail probabilities of sums and randomly weighted sums
- Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- Second-order asymptotics for convolution of distributions with light tails
- Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
- Maxima of Sums of Heavy-Tailed Random Variables
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