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On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
15 references·8 citing·26 second hop
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this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1994Subexponentiality of the product of independent random variables362 cited
  • 1988Subexponential distributions and integrated tails318 cited
  • 1979Subexponentiality and infinite divisibility307 cited
  • 1991Risk theory for the compound Poisson process that is perturbed by diffusion298 cited
  • 1980On closure and factorization properties of subexponential and related distributions286 cited
  • 1997Geometric Sums: Bounds for Rare Events with Applications264 cited
  • 1986Convolution tails, product tails and domains of attraction195 cited
  • 1999Asymptotic results for multiplexing subexponential on-off processes129 cited
  • 2004Precise large deviations for sums of random variables with consistently varying tails112 cited
  • 1998Risk processes perturbed by α-stable Lévy motion93 cited
  • 1986Approximation of the queue-length distribution of an M/GI/s queue by the basic equations54 cited
  • 1985Algorithms and Approximations for Queueing Systems.

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52 cited

Cited by

  • 2008Sums of Dependent Nonnegative Random Variables with Subexponential Tails89 cited
  • 2010Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation78 cited
  • 2007On the time value of absolute ruin with debit interest69 cited
  • 2007Tails of random sums of a heavy-tailed number of light-tailed terms63 cited
  • 2004Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation59 cited
  • 2007Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models48 cited
  • 2005Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory46 cited
  • 2008Tail behavior of random sums under consistent variation with applications to the compound renewal risk model44 cited