An Introduction to Heavy-Tailed and Subexponential Distributions

From MaRDI portal
Publication:4913574


DOI10.1007/978-1-4614-7101-1zbMath1274.62005MaRDI QIDQ4913574

Stan Zachary, Dmitrii Korshunov, Sergeĭ Georgievich Foss

Publication date: 8 April 2013

Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-7101-1


62G32: Statistics of extreme values; tail inference

62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics

62E10: Characterization and structure theory of statistical distributions

62Pxx: Applications of statistics


Related Items

Accelerated nonlocal nonsymmetric dispersion for monostable equations on the real line, Fat-Tailed Regression Modeling with Spliced Distributions, Two-dimensional ruin probability for subexponential claim size, Large deviations of means of heavy-tailed random variables with finite moments of all orders, Implicit renewal theory in the arithmetic case, Simply Generated Unrooted Plane Trees, Unnamed Item, Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks, Unlabelled Gibbs partitions, On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP, Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments, Ruin probabilities for risk process in a regime-switching environment, A note on product-convolution for generalized subexponential distributions, Subexponential potential asymptotics with applications, Spectral projections correlation structure for short-to-long range dependent processes, On the non-closure under convolution for strong subexponential distributions, SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY, Multicomponent stress-strength reliability based on a right long-tailed distribution, Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate, The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims, Condensation transition in large deviations of self-similar Gaussian processes with stochastic resetting, Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes, Cost and Effect of Replication and Quorum in Desktop Grid Computing, Rare events in stochastic processes with sub-exponential distributions and the big jump principle, Estimating tails of independently stopped random walks using concave approximations of hazard functions, A Survey of Stability Results for Redundancy Systems, A necessary and sufficient condition for the subexponentiality of the product convolution, Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues, Importance sampling of heavy-tailed iterated random functions, Regular variation in a fixed-point problem for single- and multi-class branching processes and queues, Phase transition in loop percolation, Passage time and fluctuation calculations for subexponential Lévy processes, Parisian ruin over a finite-time horizon, Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals, Random difference equations with subexponential innovations, Tail asymptotics of fluid queues in a distributed server system fed by a heavy-tailed ON-OFF flow, A decorated tree approach to random permutations in substitution-closed classes, On the long tail property of product convolution, Subexponential densities of infinitely divisible distributions on the half-line, Convolution and convolution-root properties of long-tailed distributions, Limiting behaviour of constrained sums of two variables and the principle of a single big jump, Moment determinacy of powers and products of nonnegative random variables, Ratio of the tail of an infinitely divisible distribution on the line to that of its Lévy measure, Asymptotics of convolution with the semi-regular-variation tail and its application to risk, Robust measurement of (heavy-tailed) risks: theory and implementation, The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands, Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift, On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes, Customer sojourn time in \(GI/GI/1\) feedback queue in the presence of heavy tails, Delay analysis and optimality of the renewal access protocol, Precise large deviations for dependent subexponential variables, Open problems in queueing theory inspired by datacenter computing, Maximum on a random time interval of a random walk with infinite mean, Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails, Five degrees of randomness, Precise large deviations for the aggregate claims in a dependent compound renewal risk model, Some positive conclusions related to the Embrechts-Goldie conjecture, Satisficing credibility for heterogeneous risks, Limit theorems for branching processes with immigration in a random environment, Subexponential asymptotics of asymptotically block-Toeplitz and upper block-Hessenberg Markov chains, Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions, A sharp asymptotics of the partition function for the collapsed interacting partially directed self-avoiding walk, Branching processes with immigration in atypical random environment, The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution, Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities, On directional convolution equivalent densities, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, A note on randomly weighted sums of dependent subexponential random variables, On a closure property of convolution equivalent class of distributions, On the maximal offspring in a subcritical branching process, Darling-Kac theorem for renewal shifts in the absence of regular variation, Nonmonotonic critical threshold in the Kuramoto model, Tournament rewards and heavy tails, Large deviations for super-heavy tailed random walks, Tail behavior of supremum of a random walk when Cramér's condition fails, On the distribution tail of the sum of the maxima of two randomly stopped sums in the presence of heavy tails, Accelerated front propagation for monostable equations with nonlocal diffusion: multidimensional case, Operator equations of branching random walks, On corrected phase-type approximations of the time value of ruin with heavy tails, Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times, Local probabilities of randomly stopped sums of power-law lattice random variables, An exponential inequality for suprema of empirical processes with heavy tails on the left, On the almost decrease of a subexponential density, On a transformation between distributions obeying the principle of a single big jump, Risk diversifying treaty between two companies with only one in insurance business, Asymptotics for the finite-time ruin probability of a risk model with a general counting process, The Wiener condition and the conjectures of Embrechts and Goldie, Asymptotic behavior for sums of non-identically distributed random variables, Max-sum equivalence of conditionally dependent random variables, Tail asymptotics of random sum and maximum of log-normal risks, The finite-time ruin probability of a risk model with a general counting process and stochastic return, Subexponential densities of compound Poisson sums and the supremum of a random walk, Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times, Local convergence of random planar graphs, A NEW ARGUMENT IN FAVOR OF HYPERBOLIC DISCOUNTING IN VERY LONG TERM PROJECT APPRAISAL, Unnamed Item, Regularly distributed randomly stopped sum, minimum, and maximum, Gumbel and Fréchet convergence of the maxima of independent random walks, Tail Asymptotics for the Waiting Time in an M/G/1/ROS Vacation Queue with Regularly-Varying Service, Degree-degree distribution in a power law random intersection graph with clustering, Randomly stopped minima and maxima with exponential-type distributions, Bayesian stopping rule in discrete parameter space with multiple local maxima, Aggregation of log-linear risks, Two-node fluid network with a heavy-tailed random input: the strong stability case, The product distribution of dependent random variables with applications to a discrete-time risk model, Unnamed Item, Clustering and percolation on superpositions of Bernoulli random graphs, Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims, A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*, Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims, A geometric convergence formula for the level-increment-truncation approximation of \(M/G/1\)-type Markov chains, Distributions derived from the continuous iteration of the hyperbolic sine function, Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims, Heavy loads and heavy tails, Revisiting the product of random variables, Fork-join and redundancy systems with heavy-tailed job sizes, Subexponentialiy of densities of infinitely divisible distributions, Multi-normex distributions for the sum of random vectors. Rates of convergence