scientific article; zbMATH DE number 3238248
From MaRDI portal
Publication:5525727
zbMath0147.37004MaRDI QIDQ5525727
Publication date: 1965
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items
Renewal regime switching and stable limit laws, Asymptotic behavior of the generalized St. Petersburg sum conditioned on its maximum, The sample ACF of a simple bilinear process, Limit distributions for linear programming time series estimators, On the emergence of a power law in the distribution of COVID-19 cases, A stochastic volatility model with flexible extremal dependence structure, Asymptotics for duration-driven long range dependent processes, Random recurrence equations and ruin in a Markov-dependent stochastic economic environment, Joint exceedances of random products, Ruin probabilities under Sarmanov dependence structure, A phase transition for tails of the free multiplicative convolution powers, Parameter estimation for moving averages with positive innovations, Limit theory for bilinear processes with heavy-tailed noise, Joint stable attraction of two sums of products, An asymptotic study of systemic expected shortfall and marginal expected shortfall, Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity, Bounds for randomly shared risk of heavy-tailed loss factors, On the uniqueness of the maximum of the paths of random walks, Cluster sets of self-normalized sums, The joint distribution of the sum and maximum of dependent Pareto risks, Minima and maxima of elliptical arrays and spherical processes, Precise large deviations for dependent regularly varying sequences, Weak quenched limiting distributions for transient one-dimensional random walk in a random environment, Tail behavior of conditional sojourn times in processor-sharing queues, Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes, Extremal behavior of stochastic integrals driven by regularly varying Lévy processes, The extremogram: a correlogram for extreme events, Extremal memory of stochastic volatility with an application to tail shape inference, Extremes of asymptotically spherical and elliptical random vectors, A general approach to full-range tail dependence copulas, A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks, On a bivariate copula with both upper and lower full-range tail dependence, Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations, On consistency of the least squares estimators in linear errors-in-variables models with infinite variance errors, On the joint tail behavior of randomly weighted sums of heavy-tailed random variables, The tail empirical process for long memory stochastic volatility sequences, Conditional tail expectation of randomly weighted sums with heavy-tailed distributions, GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference, Second order properties of distribution tails and estimation of tail exponents in random difference equations, Tail index estimation in the presence of long-memory dynamics, On the regular variation of ratios of jointly Fréchet random variables, The extremal index for GARCH(1,1) processes, Tail behavior of the product of two dependent random variables with applications to risk theory, Relative stability in strictly stationary random sequences, Estimation for a longitudinal linear model with measurement errors, Tail dependence for regularly varying time series, The tail probability of the product of dependent random variables from max-domains of attraction, Tail probability of randomly weighted sums of subexponential random variables under a dependence structure, High-level dependence in time series models, Moderate deviations for a risk model based on the customer-arrival process, Archimedean copulas in finite and infinite dimensions -- with application to ruin problems, Second order regular variation and conditional tail expectation of multiple risks, Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems, Asymptotics in a time-dependent renewal risk model with stochastic return, Processor sharing: a survey of the mathematical theory, Robust score and portmanteau tests of volatility spillover, Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model, Ruin probabilities with insurance and financial risks having an FGM dependence structure, Asymptotics of random contractions, A note on the normal approximation error for randomly weighted self-normalized sums, Randomly weighted sums of subexponential random variables with application to capital allocation, Asymptotic expansion of Gaussian chaos via probabilistic approach, Tail behaviour and extremes of two-state Markov-switching autoregressive models, Homogeneous mappings of regularly varying vectors, Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors, The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains, Heavy tails of OLS, The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks, Regular variation of GARCH processes., Limit theorems for mixed max-sum processes with renewal stopping, The product of two dependent random variables with regularly varying or rapidly varying tails, The supremum of a Gaussian process over a random interval, Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution, Stable limits for sums of dependent infinite variance random variables, Extremal attractors of Liouville copulas, Estimation for first-order autoregressive processes with positive or bounded innovations, Long memory in intertrade durations, counts and realized volatility of NYSE stocks, Large portfolio losses in a turbulent market, Tail asymptotics under beta random scaling, Sequential monitoring of the tail behavior of dependent data, Tail probabilities for infinite series of regularly varying random vectors, The ratio of the extreme to the sum in a random sequence, Precise large deviations for dependent subexponential variables, Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws, The sample autocorrelations of heavy-tailed processes with applications to ARCH, Regularly varying multivariate time series, Portmanteau-type test for unit root with heavy-tailed noise, Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise, Relationships between pure tail orderings of lifetime distributions and some concepts of residual life, Consistency for least squares regression estimators with infinite variance data, Uniform estimate for maximum of randomly weighted sums with applications to ruin theory, On the tail behaviour of aggregated random variables, Modelling extremes of spatial aggregates of precipitation using conditional methods, Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process., More limit theory for the sample correlation function of moving averages, ``Slimming of power-law tails by increasing market returns, Convolution tails, product tails and domains of attraction, Subexponentiality of the product of independent random variables, Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations, Functional weak convergence of partial maxima processes, Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series, A multiplicative thinning‐based integer‐valued GARCH model, Causality in extremes of time series, Revisiting the product of random variables, Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns, Implicit renewal theory for exponential functionals of Lévy processes, Slash distributions, generalized convolutions, and extremes, Unnamed Item, Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation, Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns, On relative stability and weighted laws of large numbers, Tail Behavior of Randomly Weighted Sums, Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times, On the extremes of a class of non-linear processes with heavy tailed innovations, Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return, Extremes for coherent risk measures, Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process, Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1), Risk in a Large Claims Insurance Market with Bipartite Graph Structure, Subexponentiality of the product of dependent random variables, CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH, A non-increasing Lindley-type equation, Stable Processes With Drift on the Line, Asymptotics for ratios with applications to reinsurance, Convolution equivalence and infinite divisibility, Distribution tails of a history-dependent random linear recursion, TAIL DEPENDENCE OF OLS, Tail asymptotic of discounted aggregate claims with compound dependence under risky investment, Extremes of autoregressive threshold processes, Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations, Limit theory for a general class of GARCH models with just barely infinite variance, Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments, Calculation of ruin probabilities for a dense class of heavy tailed distributions, Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks, Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks, Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory, Aggregation of network traffic and anisotropic scaling of random fields, Continuous scaled phase-type distributions, ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK, On posterior consistency of tail index for Bayesian kernel mixture models, Multivariate Hill Estimators, Asymptotics for a time-dependent by-claim model with dependent subexponential claims, Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return, Stochastic volatility models with possible extremal clustering, Interplay of insurance and financial risks in a stochastic environment, Extremes and products of multivariate AC-product risks, The convex hull of consecutive pairs of observations from some time series models, Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures, Approximations of the tail probability of the product of dependent extremal random variables and applications, GARCH models without positivity constraints: exponential or log GARCH?, A Fourier analysis of extreme events, The influence of dependence on data network models, Extremal behavior of Archimedean copulas, A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test, Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes, On some transformations between positive self-similar Markov processes, Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments, ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES, The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks, Fractional Moments of Solutions to Stochastic Recurrence Equations, Extreme value theory for space-time processes with heavy-tailed distributions, Tail behavior of random products and stochastic exponentials, Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims, On Exceedance Times for Some Processes with Dependent Increments, Asymptotics of Hybrid Fluid Queues with Lévy Input, Excursion sets of three classes of stable random fields, Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments, Characterizations and examples of hidden regular variation, Joint exceedances of the ARCH process, Tail asymptotics for exponential functionals of Lévy processes, Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters, Sojourn time asymptotics in processor-sharing queues, On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process, On the regular variation of elliptical random vectors, Boolean convolutions and regular variation, On perpetuities with gamma-like tails, The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process, Extremal dependence of random scale constructions, On Perturbed Random Walks, On functional limits of short- and long-memory linear processes with GARCH(1,1) noises, Second-order tail asymptotics of deflated risks, The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks, Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims, Robust estimation and inference for heavy tailed GARCH, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, Asymptotic behaviour of multivariate default probabilities and default correlations under stress, On the Breiman conjecture, Assessing component reliability using lifetime data from systems, Extremes of regularly varying Lévy-driven mixed moving average processes, Data network models of burstiness, On a lower asymptotic bound of the overflow probability in a fluid queue with a heterogeneous fractional input, Random coefficient autoregression, regime switching and long memory, Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise, The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks, Bivariate regular variation among randomly weighted sums in general insurance, On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise, The tail empirical process for long memory stochastic volatility models with leverage, Impatient random walk, CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS, Models with hidden regular variation: Generation and detection, Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations, Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks., Joint extremal behavior of hidden and observable time series with applications to GARCH processes, Some asymptotic results for sums of dependent random variables, with actuarial applications, Ruin with insurance and financial risks following the least risky FGM dependence structure, The integrated periodogram of a dependent extremal event sequence, Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts