scientific article; zbMATH DE number 3322619
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Publication:5601945
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(only showing first 100 items - show all)- Convolution closure properties of subexponential densities
- Sufficient conditions for the subexponential property of the convolution of two distributions
- Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- The probability of ruin in finite time
- Extreme value statistics of correlated random variables: a pedagogical review
- New limit formulas for the convolution of a function with a measure and their applications
- Explicit estimates for the asymptotics of subexponential infinitely divisible distribution functions
- Second-order asymptotics for convolution of distributions with light tails
- Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
- Rare events in extreme value statistics of jump processes with power tails
- Ruin probabilities for risk process in a regime-switching environment
- Spatial asymptotics at infinity for heat kernels of integro-differential operators
- On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes
- Rare events in stochastic processes with sub-exponential distributions and the big jump principle
- Tail asymptotics of the \(n\)th convolution of super-exponential distributions
- Exponential densities and compound Poisson measures
- Condensation and extremes for a fluctuating number of independent random variables
- The asymptotic behavior of one-sided large deviation probabilities. II
- The asymptotic of harmonic renewal measures
- Banach algebras of measures of class S(\(\gamma\) )
- On a transformation between distributions obeying the principle of a single big jump
- Infinite divisibility and generalized subexponentiality
- The structure of the class of subexponential distributions
- Discrete and continuous time modulated random walks with heavy-tailed increments
- Local asymptotics of a Markov modulated random walk with heavy-tailed increments
- Random walks with non-convolution equivalent increments and their applications
- Tail behavior of supremum of a random walk when Cramér's condition fails
- Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Subexponential asymptotics of the stationary distributions of M/G/1-type Markov chains
- Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
- Evolutionarily stable strategies of random games, and the vertices of random polygons
- Local subexponentiality and self-decomposability
- A wide class of heavy-tailed distributions and its applications
- From light tails to heavy tails through multiplier
- The subexponentiality of products revisited
- Asymptotics of infinitely divisible distributions on \({\mathbb{R}}\)
- Ruin probabilities in perturbed risk models
- Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail
- Randomly stopped sums with consistently varying distributions
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Asymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variables
- Randomly weighted sums of dependent subexponential random variables
- The rate of convergence for subexponential distributions
- Asymptotic results for heavy-tailed distributions using defective renewal equations
- A necessary and sufficient condition for the subexponentiality of the product convolution
- Strongly subexponential distributions and Banach algebras of measures
- Limit theorems for an agedependent branching process with immigration
- Some estimates of geometric sums
- Multivariate subexponential distributions and random sums of random vectors
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- Convolutions of Long-Tailed and Subexponential Distributions
- On the distribution of the maxima of partial sums
- Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
- Subexponentiality of the product of independent random variables
- Asymptotics of the density of the supremum of a random walk with heavy-tailed increments
- Convolution equivalence and infinite divisibility
- Lower limits and equivalences for convolution tails
- Asymptotics for the moments of the overshoot and undershoot of a random walk
- Some closure properties for subexponential distributions
- Modeling large claims in non-life insurance
- Asymptotic ordering of distribution functions and convolution semigroups
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- The supremum of a negative drift random walk with dependent heavy-tailed steps.
- Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues
- The probabilities of absolute ruin in the renewal risk model with constant force of interest
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Asymptotic loss probability in a finite buffer fluid queue with heterogeneous heavy-tailed on-off processes
- The Wiener condition and the conjectures of Embrechts and Goldie
- Subexponential distributions and characterizations of related classes
- Maxima of sums and random sums for negatively associated random variables with heavy tails
- Monotonicity and condensation in homogeneous stochastic particle systems
- A new class of large claim size distributions: definition, properties, and ruin theory
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Estimates for the finite-time ruin probability with insurance and financial risks
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Convolution equivalent Lévy processes and first passage times
- The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
- Precise large deviations for long-tailed distributions
- Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
- The second rate function and the asymptotic problems of renewal and hitting the boundary for multidimensional random walks
- On moments and tail behaviors of storage processes
- Some properties of subexponential distributions
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Randomly stopped maximum and maximum of sums with consistently varying distributions
- On lower limits and equivalences for distribution tails of randomly stopped sums
- Ruin probability and local ruin probability in the random multi-delayed renewal risk model
- Reinsurance of large claims
- New examples of heavy-tailed O-subexponential distributions and related closure properties
- On exact rates of decay of solutions of linear systems of Volterra equations with delay
- The tail behaviour of a random sum of subexponential random variables and vectors
- Bounds for classical ruin probabilities
- Tail behavior of sums and maxima of sums of dependent subexponential random variables
- Second order subexponential distributions with finite mean and their applications to subordinated distributions
- On convolution equivalence with applications
- Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
- Local asymptotics of the cycle maximum of a heavy-tailed random walk
- Cyclic queueing networks with subexponential service times
- Tandem queues with subexponential service times and finite buffers
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