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Appendix: A primer on heavy-tailed distributions
12 references·16 citing·36 second hop
Appendix: A primer on heavy-tailed distributions (1999)Appendix: A primer on heavy-tailed distri…Subexponential Distributions (2004)Subexponential DistributionsStochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Sampling at subexponential times, with queueing applications (1999)Sampling at subexponential ti…Modelling Extremal Events (1997)Modelling Extremal EventsExponential Approximations for Tail Probabilities in Queues, I: Waiting Times (1995)Exponential Approximations fo…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Subexponential distributions and integrated tails (1988)Subexponential distributions …Applied Probability and Queues (1987)Applied Probability and QueuesEstimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Subexponential distribution functions (1980)Subexponential distribution f…On the tails of waiting-time distributions (1975)On the tails of waiting-time …Open problems in queueing theory inspired by datacenter computing (2021)Open problems in queueing the…Queue-Length Asymptotics for Generalized Max-Weight Scheduling in the Presence of Heavy-Tailed Traffic (2011)Queue-Length Asymptotics for …Tail-robust scheduling via limited processor sharing (2010)Tail-robust scheduling via li…Bayesian inference for double Pareto lognormal queues (2010)Bayesian inference for double…Improved algorithms for rare event simulation with heavy tails (2006)Improved algorithms for rare …Light-tailed asymptotics of stationary probability vectors of Markov chains of GI/G/1 type (2005)Light-tailed asymptotics of s…Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type (2005)Heavy-tailed asymptotics of s…HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY (2005)HEAVY TAILS, IMPORTANCE SAMPL…On the controversy over tailweight of distributions (2004)On the controversy over tailw…Moments and tails in monotone-separable stochastic networks (2004)Moments and tails in monotone…An Algorithm to Compute the Waiting Time Distribution for the M/G/1 Queue (2004)An Algorithm to Compute the W…A Note on Veraverbeke's Theorem (2004)A Note on Veraverbeke's Theor…The maximum on a random time interval of a random walk with long-tailed increments and negative drift (2003)The maximum on a random time …The Asymptotic Workload Behavior of Two Coupled Queues (2003)The Asymptotic Workload Behav…Generalized processor sharing with light-tailed and heavy-tailed input (2003)Generalized processor sharing…Moments and Tails in Monotone-Separable Stochastic Networks (2001)Moments and Tails in Monotone…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Mathematical Methods in Risk Theory (1970)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Theory, Volume 1, Queueing Systems (1975)New results on the single server queue with a batch markovian arrival process (1991)Waiting-time tail probabilities in queues with long-tail service-time distributions (1994)Asymptotics for M/G/1 low-priority waiting-time tail probabilities (1997)A central-limit-theorem-based approach for analyzing queue behavior in high-speed networks (1998)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)Extreme Values in the GI/G/1 Queue (1972)Asymptotic behaviour of Wiener-Hopf factors of a random walk (1977)Subexponentiality and infinite divisibility (1979)Subexponentiality of the product of independent random variables (1994)The Class of Subexponential Distributions (1975)Distributions of Subadditive Functionals of Sample Paths of Infinitely Divisible Processes (1993)Simulating heavy tailed processes using delayed hazard rate twisting (2002)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Subexponential distributions and characterizations of related classes (1989)Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2011)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1988Subexponential distributions and integrated tails318 cited
  • 1975On the tails of waiting-time distributions226 cited
  • 1980Subexponential distribution functions153 cited
  • 1995Exponential Approximations for Tail Probabilities in Queues, I: Waiting Times145 cited
  • 2004Subexponential Distributions144 cited
  • 1999Sampling at subexponential times, with queueing applications97 cited

Cited by

  • 2006Improved algorithms for rare event simulation with heavy tails140 cited
  • 2004On the controversy over tailweight of distributions93 cited
  • 2003The maximum on a random time interval of a random walk with long-tailed increments and negative drift89 cited

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2003
Generalized processor sharing with light-tailed and heavy-tailed input
64 cited
  • 2021Open problems in queueing theory inspired by datacenter computing62 cited
  • 2004A Note on Veraverbeke's Theorem55 cited
  • 2004An Algorithm to Compute the Waiting Time Distribution for the M/G/1 Queue52 cited
  • 2005HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY49 cited
  • 2001Moments and Tails in Monotone-Separable Stochastic Networks46 cited
  • 2004Moments and tails in monotone-separable stochastic networks41 cited
  • 2005Light-tailed asymptotics of stationary probability vectors of Markov chains of GI/G/1 type38 cited
  • 2010Tail-robust scheduling via limited processor sharing34 cited
  • 2011Queue-Length Asymptotics for Generalized Max-Weight Scheduling in the Presence of Heavy-Tailed Traffic33 cited
  • 2010Bayesian inference for double Pareto lognormal queues32 cited
  • 2003The Asymptotic Workload Behavior of Two Coupled Queues32 cited
  • 2005Heavy-tailed asymptotics of stationary probability vectors of Markov chains of gi/g/1 type26 cited