Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions

DOI10.1016/J.SPL.2010.03.017zbMATH Open1196.60041OpenAlexW2024145735MaRDI QIDQ984010FDOQ984010

Giovanni Luca Torrisi, G. Stabile

Publication date: 13 July 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.03.017

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zbMATH Keywords

large deviationsheavy tail distributionsPoisson shot noise processessemi-exponential distributions

Mathematics Subject Classification ID

Large deviations (60F10)

Cites Work

• Explosive Poisson shot noise processes with applications to risk reserves
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• Mathematical Analysis of Random Noise
• Delay in claim settlement and ruin probability approximations
• Simulating the ruin probability of risk processes with delay in claim settlement
• An insensitivity property of Lundberg's estimate for delayed claims
• Lundberg parameters for non standard risk processes
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• Sample path large deviations principles for Poisson shot noise processes, and applications
• Functional Erdős-Rényi laws for semiexponential random variables
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• Asymptotic results for perturbed risk processes with delayed claims
• Macroscopic models for long-range dependent network traffic
• Large Deviations of the Interference in a Wireless Communication Model

Cited In (12)

• Sample path large deviations for the multiplicative Poisson shot noise process with compensation
• Title not available (Why is that?)
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• Explosive Poisson shot noise processes with applications to risk reserves
• Non-central moderate deviations for compound fractional Poisson processes
• Asymptotic analysis of Poisson shot noise processes, and applications
• Large deviations of means of heavy-tailed random variables with finite moments of all orders
• Sample Path Large Deviations of Poisson Shot Noise with Heavy-Tailed Semiexponential Distributions
• Moderate deviations for a risk model based on the customer-arrival process
• Sample path large deviations principles for Poisson shot noise processes, and applications
• Modeling LEAST RECENTLY USED caches with Shot Noise request processes
• Title not available (Why is that?)

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