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Telecommunication traffic, queueing models, and subexponential distributions
16 references·1 citing·36 second hop
Telecommunication traffic, queueing models, and subexponential distributions (1999)Telecommunication traffic, queueing model…Queueing Theory: A Linear Algebraic Approach (2012)Queueing Theory: A Linear Alg…Subexponential Distributions (2004)Subexponential DistributionsAppendix: A primer on heavy-tailed distributions (1999)Appendix: A primer on heavy-t…Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Subexponential asymptotics fo…Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models (1998)Heavy Tails and Long Range De…Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Stable Non-Gaussian Random Pr…Modelling Extremal Events (1997)Modelling Extremal EventsHeavy tail modeling and teletraffic data: special invited paper (1997)Heavy tail modeling and telet…Explosive Poisson Shot Noise Processes with Applications to Risk Reserves (1995)Explosive Poisson Shot Noise …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 QueuesMatrix-geometric solutions in stochastic models (1985)Matrix-geometric solutions in…Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Stochastic Processes in Queueing Theory (1976)Stochastic Processes in Queue…On the tails of waiting-time distributions (1975)On the tails of waiting-time …On the integral of the workload process of the single server queue (2003)On the integral of the worklo…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)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection (2002)The extremogram: A correlogram for extreme events (2009)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)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 Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Modelling by Lévy Processess for Financial Econometrics (2001)Multifractality Tests Using Bootstrapped Wavelet Leaders (2007)Analysis of the Rosenblatt process (2008)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)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)Models for analysis of packet voice communications systems (1986)Risk theory in a Markovian environment (1989)Russian and American put options under exponential phase-type Lévy models (2003)Approximating a Point Process by a Renewal Process, I: Two Basic Methods (1982)Martingale Methods in Financial Modelling (1997)Fluctuations of Lévy Processes with Applications (2014)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1985Matrix-geometric solutions in stochastic models871 cited
  • 1976Stochastic Processes in Queueing Theory674 cited
  • 1997Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994389 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1988Subexponential distributions and integrated tails318 cited
  • 1997Heavy tail modeling and teletraffic data: special invited paper288 cited
  • 1975On the tails of waiting-time distributions226 cited
  • 2012Queueing Theory: A Linear Algebraic Approach200 cited
  • 1998Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models176 cited
  • 1998Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities175 cited
  • 1995Explosive Poisson Shot Noise Processes with Applications to Risk Reserves146 cited
  • 2004Subexponential Distributions144 cited

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  • 1999Appendix: A primer on heavy-tailed distributions141 cited
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    • 2003On the integral of the workload process of the single server queue21 cited