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Subexponentiality of the product of independent random variables
2 references·16 citing·29 second hop
Subexponentiality of the product of independent random variables (1994)Subexponentiality of the product of indep…Stochastic Processes in Queueing Theory (1976)Stochastic Processes in Queue…On the tails of waiting-time distributions (1975)On the tails of waiting-time …Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Randomly weighted sums of sub…Extremal t processes: Elliptical domain of attraction and a spectral representation (2013)Extremal t processes: Ellipti…Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2011)Uniform Asymptotics for the F…Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009)Sums of Pairwise Quasi-Asympt…Precise large deviations for dependent random variables with heavy tails (2009)Precise large deviations for …Approximation of the tail probability of randomly weighted sums and applications (2008)Approximation of the tail pro…Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation (2006)Tail Probabilities of Randoml…Insensitivity to Negative Dependence of the Asymptotic Behavior of Precise Large Deviations (2006)Insensitivity to Negative Dep…The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (2005)The Tail Probability of Disco…The finite-time ruin probability of the compound Poisson model with constant interest force (2005)The finite-time ruin probabil…Precise large deviations for sums of random variables with consistently varying tails (2004)Precise large deviations for …On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications (2004)On max-sum equivalence and co…Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments (2004)Finite- and infinite-time rui…Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory (2003)Randomly Weighted Sums of Sub…Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)Precise estimates for the rui…Tail probabilities for non-standard risk and queueing processes with subexponential jumps (1999)Tail probabilities for non-st…Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Large deviations for random walks under subexponentiality: the big-jump domain (2007)An Introduction to Copulas (1999)A note on a dependent risk model with constant interest rate (2011)Tail behavior of the product of two dependent random variables with applications to risk theory (2012)Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models (2012)Extreme Values, Regular Variation and Point Processes (1987)Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation (2010)On pairwise quasi-asymptotically independent random variables and their applications (2013)Statistics of Extremes: Theory and Applications (2004)Extreme value theory : an introduction (2006)The t Copula and Related Copulas (2007)Efficient inference and simulation for elliptical Pareto processes (2015)Extremes on river networks (2015)Advances in statistical modeling of spatial extremes (2020)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)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)The theory of queues with a single server (1952)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Necessary and sufficient conditions for moderate deviations of dependent random variables with heavy tails (2010)Ruin models with investment income (2008)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)
this work references cited by second hop

References

  • 1976Stochastic Processes in Queueing Theory674 cited
  • 1975On the tails of waiting-time distributions226 cited

Cited by

  • 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks346 cited
  • 2009Precise large deviations for dependent random variables with heavy tails296 cited
  • 2011Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate235 cited
  • 2004Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments146 cited
  • 2003Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory138 cited
  • 2009Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation134 cited
  • 2013Extremal t processes: Elliptical domain of attraction and a spectral representation127 cited
  • 2004Precise large deviations for sums of random variables with consistently varying tails112 cited
  • 2008Approximation of the tail probability of randomly weighted sums and applications106 cited
  • 2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance104 cited
  • 2014Randomly weighted sums of subexponential random variables with application to capital allocation101 cited
  • 1999

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Tail probabilities for non-standard risk and queueing processes with subexponential jumps
100 cited
  • 2005The finite-time ruin probability of the compound Poisson model with constant interest force99 cited
  • 2006Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation98 cited
  • 2006Insensitivity to Negative Dependence of the Asymptotic Behavior of Precise Large Deviations97 cited
  • 2004On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications92 cited