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ArticleAsymptotics for Sums of Random Variables with Local Subexponential Behaviour

Søren Asmussen2003

Article2003

Asymptotics for Sums of Random Variables with Local Subexponential Behaviour

Søren Asmussen · Sergey Foss · Dmitry Alekseevich Korshunov

123 citations·0/0 files stored·Journal of Theoretical Probability

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Probability and Risk Models Probability and Statistical Research Stochastic processes and statistical mechanics

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References

1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1987Applied Probability and Queues 2001Stochastic Processes for Insurance and Finance 1976Stochastic Processes in Queueing Theory 1999Stochastic Processes for Insurance and Finance 2000Ruin Probabilities 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims

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2008Large deviations for random walks under subexponentiality: The big-jump domain 2007Large deviations for random walks under subexponentiality: the big-jump domain 2003The maximum on a random time interval of a random walk with long-tailed increments and negative drift 2004Tail Asymptotics for the Supremum of a Random Walk when the Mean Is not Finite 2011Conditional distribution of heavy tailed random variables on large deviations of their sum

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2004Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processesarticle · 7 shared references 2004Tail Asymptotics for the Supremum of a Random Walk when the Mean Is not Finitearticle · 7 shared references 2003Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Processarticle · 7 shared references 2004Ruin probabilities and overshoots for general Lévy insurance risk processesarticle · 6 shared references 2002Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tailsarticle · 6 shared references 1999Telecommunication traffic, queueing models, and subexponential distributionsarticle · 6 shared references

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Year2003

Typearticle

Published2003-04-01

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations123

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1023/a:1023535030388

openalex_workW1865501299

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