Asymptotics of randomly stopped sums in the presence of heavy tails

DOI10.3150/10-BEJ251zbMath1208.60041arXiv0808.3697MaRDI QIDQ627282

Denis Denisov, Sergeĭ Georgievich Foss, Dmitrii Korshunov

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.3697

zbMATH Keywords

upper boundheavy-tailed distributionsubexponential distributionconvolution equivalencerandom sums of random variables

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items

The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution, Regularly varying non-stationary Galton-Watson processes with immigration, Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations, Random convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tail, On the random max-closure for heavy-tailed random variables, Subexponential Asymptotics for Steady State Tail Probabilities in a Single-Server Queue with Regenerative Input Flow, Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails, Critical branching processes in a sparse random environment, Convolution and convolution-root properties of long-tailed distributions, Finite-horizon ruin probability asymptotics in the compound discrete-time risk model, Tail asymptotics for the supercritical Galton-Watson process in the heavy-tailed case, Uniform asymptotics for the tail probability of weighted sums with heavy tails, Tail probability of a random sum with a heavy-tailed random number and dependent summands, Estimating tails of independently stopped random walks using concave approximations of hazard functions, Asymptotic results for heavy-tailed Lévy processes and their exponential functionals, On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes, Asymptotics for Weighted Random Sums, Randomly stopped maximum and maximum of sums with consistently varying distributions, On Exceedance Times for Some Processes with Dependent Increments, Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables, Heavy-Tailed Branching Process with Immigration, Two-dimensional ruin probability for subexponential claim size, The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables, On the total claim amount for marked Poisson cluster models, Information ranking and power laws on trees, Regular variation in a fixed-point problem for single- and multi-class branching processes and queues, Regularly varying nonstationary second-order Galton–Watson processes with immigration, A note on the tail behavior of randomly weighted and stopped dependent sums, Local probabilities of randomly stopped sums of power-law lattice random variables, Heavy tails of a Lévy process and its maximum over a random time interval, Random walks in a moderately sparse random environment, Critical fluctuations in renewal models of statistical mechanics, Asymptotics for Tail Probability of Random Sums with a Heavy-Tailed Number and Dependent Increments, Statistical fluctuations under resetting: rigorous results

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• Modeling teletraffic arrivals by a Poisson cluster process
• Lower limits and equivalences for convolution tails
• The tail behaviour of a random sum of subexponential random variables and vectors
• Large deviations for random walks under subexponentiality: The big-jump domain
• On lower limits and equivalences for distribution tails of randomly stopped sums
• Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
• Limits of ratios of tails of measures
• Random stopping preserves regular variation of process distributions
• Large deviations of heavy-tailed sums with applications in insurance
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Asymptotics of randomly stopped sequences with independent increments
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Probabilities of Large Deviations of Sums of Independent Random Variables with Common Distribution Function in the Domain of Attraction of the Normal Law
• Asymptotic Analysis of Random Walks
• Limit Theorems for Probabilities of Large Deviations of a Critical Galton–Watson Process Having Power Tails
• Lower Limits for Distribution Tails of Randomly Stopped Sums
• Subexponential distributions and integrated tails
• Вероятности больших уклонений суммы независимых случайных величин с общей функцией распределения из области притяжения несимметричного устойчивого закона
• On the Asymptotic Behavior of One-Sided Large Deviation Probabilities
• Subexponentiality and infinite divisibility
• Intermediate Regular and Π Variation
• Maxima of Sums of Heavy-Tailed Random Variables
• Applied Probability and Queues
• Integral Limit Theorems Taking Large Deviations Into Account When Cramér’s Condition Does Not Hold. II
• Regular variation of the tail of a subordinated probability distribution
• Large deviations of sums of independent random variables