Random difference equations with subexponential innovations
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Publication:525896
DOI10.1007/s11425-016-0146-0zbMath1362.60064OpenAlexW2558422046MaRDI QIDQ525896
Publication date: 5 May 2017
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-016-0146-0
asymptoticsweak solutionstail probabilitiessubexponentialityrandom difference equationsKaramata index
Related Items (9)
Interplay of subexponential and dependent insurance and financial risks ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Revisiting the product of random variables ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ On perpetuities with light tails ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
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