Random difference equations with subexponential innovations
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Cites work
- A note on the Kesten-Grincevičius-Goldie theorem
- An introduction to copulas.
- An introduction to heavy-tailed and subexponential distributions
- Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
- Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
- Asymptotics for risk capital allocations based on conditional tail expectation
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems
- Convolution tails, product tails and domains of attraction
- Dependence modeling with copulas
- Explicit stationary distributions for compositions of random functions and products of random matrices
- Extremes on the discounted aggregate claims in a time dependent risk model
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Implicit renewal theory and tails of solutions of random equations
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Iterated random functions and slowly varying tails
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- Large deviations for solutions to stochastic recurrence equations under Kesten's condition
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- On a Theorem of Breiman and a Class of Random Difference Equations
- On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)]\) and a property of gamma distributions
- Perpetuities with thin tails
- Perpetuities with thin tails revisited
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Random difference equations and renewal theory for products of random matrices
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Regular variation in the tail behaviour of solutions of random difference equations
- Renorming divergent perpetuities
- Ruin probabilities with insurance and financial risks having an FGM dependence structure
- Stochastic Models with Power-Law Tails
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Tail behaviour of stationary solutions of random difference equations: the case of regular matrices
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- The present value of a stochastic perpetuity and the gamma distribution
- The subexponentiality of products revisited
Cited in
(17)- Interplay of subexponential and dependent insurance and financial risks
- Slowly varying asymptotics for signed stochastic difference equations
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims
- SOME PROPERTIES OF A RANDOM LINEAR DIFFERENCE EQUATION1
- scientific article; zbMATH DE number 24913 (Why is no real title available?)
- Implicit Linear Nonhomogeneous Difference Equation over ℤ with a Random Right-Hand Side
- On perpetuities with light tails
- The Dynamics of Random Difference Equations Is Remodeled by Closed Relations
- 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
- 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
- Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- A revisit to tail risk measures in the presence of bivariate regularly varying tailed insurance and financial risks
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