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Functional large deviations for multivariate regularly varying random walks

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References

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1998Large Deviations of Heavy-Tailed Sums with Applications in Insurance175 cited
2004Extremal behavior of regularly varying stochastic processes92 cited

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2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited
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2012Precise large deviations for dependent regularly varying sequences42 cited
2012Asymptotic lower bounds of precise large deviations with nonnegative and dependent random variables39 cited
2007Extremal behavior of stochastic integrals driven by regularly varying Lévy processes37 cited
2016Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims31 cited
2012Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?31 cited

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