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Large deviations for random walks under subexponentiality: the big-jump domain
6 references·3 citing·24 second hop
Large deviations for random walks under subexponentiality: the big-jump domain (2007)Large deviations for random walks under s…Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times (2004)Tail behaviour of the busy pe…Precise large deviations for sums of random variables with consistently varying tails (2004)Precise large deviations for …Asymptotics for Sums of Random Variables with Local Subexponential Behaviour (2003)Asymptotics for Sums of Rando…Large Deviations of Heavy-Tailed Sums with Applications in Insurance (1998)Large Deviations of Heavy-Tai…Modelling Extremal Events (1997)Modelling Extremal EventsSubexponential distributions and integrated tails (1988)Subexponential distributions …Precise large deviations for dependent regularly varying sequences (2012)Precise large deviations for …Conditional distribution of heavy tailed random variables on large deviations of their sum (2011)Conditional distribution of h…Asymptotics of randomly stopped sums in the presence of heavy tails (2010)Asymptotics of randomly stopp…Applied Probability and Queues (1987)Modelling of extremal events in insurance and finance (1994)Applied Probability and Queues (2003)Scheduling for today's computer systems: bridging theory and practice (2007)Tails of random sums of a heavy-tailed number of light-tailed terms (2007)Subexponentiality of the product of independent random variables (1994)On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications (2004)Insensitivity to Negative Dependence of the Asymptotic Behavior of Precise Large Deviations (2006)Necessary and sufficient conditions for moderate deviations of dependent random variables with heavy tails (2010)Extreme Values, Regular Variation and Point Processes (1987)Residual Life Time at Great Age (1974)The Class of Subexponential Distributions (1975)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Subexponential distributions and characterizations of related classes (1989)Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2011)The maximum on a random time interval of a random walk with long-tailed increments and negative drift (2003)Tail Asymptotics for the Supremum of a Random Walk when the Mean Is not Finite (2004)Large deviations for random walks under subexponentiality: The big-jump domain (2008)Subexponential Distributions (2004)Improved algorithms for rare event simulation with heavy tails (2006)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1988Subexponential distributions and integrated tails318 cited
  • 1998Large Deviations of Heavy-Tailed Sums with Applications in Insurance175 cited
  • 2003Asymptotics for Sums of Random Variables with Local Subexponential Behaviour123 cited
  • 2004Precise large deviations for sums of random variables with consistently varying tails112 cited
  • 2004Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times59 cited

Cited by

  • 2010Asymptotics of randomly stopped sums in the presence of heavy tails71 cited
  • 2011Conditional distribution of heavy tailed random variables on large deviations of their sum54 cited
  • 2012Precise large deviations for dependent regularly varying sequences42 cited

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