Subexponentiality and infinite divisibility
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Cites work
- A general result on infinite divisibility
- A Lemma on regular variation of a transient renewal function
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Degeneracy properties of subcritical branching processes
- Functions of probability measures
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3410334 (Why is no real title available?)
- On the Asymptotic Behavior of a Class of Infinitely Divisible Laws
- On the infinite divisibility of the lognormal distribution
- On the tails of waiting-time distributions
- One-sided analogues of Karamata's regular variation
- Regular variation of the tail of a subordinated probability distribution
- Some results on regular variation for distributions in queueing and fluctuation theory
- Subexponential distributions and dominated-variation tails
- The class of subexponential distributions
Cited in
(only showing first 100 items - show all)- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- Probability measures, Lévy measures and analyticity in time
- On lower limits and equivalences for distribution tails of randomly stopped sums
- Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
- Asymptotic results for heavy-tailed distributions using defective renewal equations
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Approximation and estimation of some compound distributions
- On harmonic renewal measures
- The structure of the class of subexponential distributions
- Some asymptotic results useful in enumeration problems
- On the supremum of an infinitely divisible process
- Ruin estimates for large claims
- Banach algebras of measures of class S(\(\gamma\) )
- A refinement of the coupling method in renewal theory
- On convolution tails
- Second order tail behaviour of a subordinated probability distribution
- Multivariate subexponential distributions
- Subexponential distributions and characterizations of related classes
- Asymptotic ordering of distribution functions and convolution semigroups
- Mixed Poisson distributions tail equivalent to their mixing distributions
- Comparison of ruin probability estimates in the presence of heavy tails
- On LIL behaviour for moving averages of some infinitely divisible random measures
- Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
- Some fractal sets determined by stable processes
- Large claims approximations for risk processes in a Markovian environment
- Association of infinitely divisible random vectors
- Stable Lévy motion approximation in collective risk theory
- Limits of on/off hierarchical product models for data transmission
- Explicit estimates for the asymptotics of subexponential infinitely divisible distribution functions
- Asymptotics for the solutions to defective renewal equations
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Asymptotics in the symmetrization inequality
- Distribution tails of sample quantiles and subexponentiality
- Über unbegrenzt teilbare Verteilungen
- Ruin problem and how fast stochastic processes mix
- Tail probabilities of subadditive functionals of Lévy processes.
- Functionals of infinitely divisible stochastic processes with exponential tails
- Sample quantiles of heavy tailed stochastic processes
- Sample function behavior of increasing processes of class \(L\)
- Tails of subordinated laws: The regularly varying case
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
- Two hypotheses on the exponential class in the class of O-subexponential infinitely divisible distributions
- On two extensions of the canonical Feller-Spitzer distribution
- Some positive conclusions related to the Embrechts-Goldie conjecture
- Extremal clustering under moderate long range dependence and moderately heavy tails
- Extremes of the stochastic heat equation with additive Lévy noise
- Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions
- Extremes of subexponential Lévy-driven random fields in the Gumbel domain of attraction
- Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities
- On the closure under infinitely divisible distribution roots
- On directional convolution equivalent densities
- Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
- Sample path large deviations for Lévy processes and random walks with regularly varying increments
- On a closure property of convolution equivalent class of distributions
- Darling-Kac theorem for renewal shifts in the absence of regular variation
- Laws of the iterated logarithm of chover-type for operator stable Lévy processes
- The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
- Regular variation and free regular infinitely divisible laws
- Trend detection for heteroscedastic extremes
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
- The Wiener condition and the conjectures of Embrechts and Goldie
- Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
- Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands
- Asymptotic expansions for infinite weighted convolutions of rapidly varying subexponential distributions
- Tail asymptotics for exponential functionals of Lévy processes
- Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
- Asymptotics for solutions of a defective renewal equation with applications
- Infinite divisibility and generalized subexponentiality
- Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions.
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- On infinitely divisible semimartingales
- Lévy processes with two-sided reflection
- Passage time and fluctuation calculations for subexponential Lévy processes
- Multivariate subexponential distributions and their applications
- Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection
- Convolutions of Long-Tailed and Subexponential Distributions
- Regularly distributed randomly stopped sum, minimum, and maximum
- Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Randomly stopped sums with consistently varying distributions
- Tail behavior of negatively associated heavy-tailed sums
- On extreme ruinous behaviour of Lévy insurance risk processes
- Multivariate subexponential distributions and random sums of random vectors
- A TANDEM QUEUE WITH LÉVY INPUT: A NEW REPRESENTATION OF THE DOWNSTREAM QUEUE LENGTH
- A NOTE ON THE CLOSURE OF CONVOLUTION POWER MIXTURES (RANDOM SUMS) OF EXPONENTIAL DISTRIBUTIONS
- Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes
- On subordinated distributions and random record processes
- The Markov branching process with density-independent catastrophes I. Behaviour of extinction probabilities
- The queue length in an M/G/1 batch arrival retrial queue
- Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
- On closure properties of heavy-tailed distributions for random sums
- Risk processes perturbed by α-stable Lévy motion
- Modelling of extremal events in insurance and finance
- Spatial asymptotics at infinity for heat kernels of integro-differential operators
- Maxima of Sums of Heavy-Tailed Random Variables
- Joint exceedances of the ARCH process
- The total claims distribution under inflationary conditions
- Functions of discrete probability measures: Rates of convergence in the renewal theorem
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