Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models

DOI10.1111/J.1467-842X.2004.00320.XMaRDI QIDQ4665409zbMATH OpenFDO

Authors A. Baltrunas, Claudia Klüppelberg

Publication date 11 April 2005

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.2004.00320.X

zbMATH Keywords

Baxter-Spitzer identitybusy periodfinite time ruin probabilityfirst passage timestransient random walk

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(14)

• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Large deviations results for subexponential tails, with applications to insurance risk
• Monotonicity and condensation in homogeneous stochastic particle systems
• Second-order asymptotics for the ruin probability in the case of very large claims
• Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
• Asymptotic expansions and hazard rates for compound and first-passage distributions
• Performance analysis with truncated heavy-tailed distributions
• The general principle for precise large deviations of heavy-tailed random sums
• Local asymptotics of the cycle maximum of a heavy-tailed random walk
• Approximating the integrated tail distribution
• scientific article; zbMATH DE number 1301888 (Why is no real title available?)
• Simulating heavy tailed processes using delayed hazard rate twisting
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• Uniform approximations for the \(M/G/1\) queue with subexponential processing times

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