Subexponential asymptotics of hybrid fluid and ruin models

DOI10.1214/105051604000000648zbMath1079.60037arXivmath/0503482OpenAlexW3099243444MaRDI QIDQ1774229

Bert Zwart, Sem C. Borst, Krzysztof Dȩbicki

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503482

zbMATH Keywords

tail behaviourruin probabilitiesOn-Off process, subexponential distributionperturbated risk models

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items (15)

Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs ⋮ Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval ⋮ Tail asymptotic of Weibull-type risks ⋮ Extremes of randomly scaled Gumbel risks ⋮ Asymptotics of supremum distribution of a Gaussian process over a Weibullian time ⋮ Unnamed Item ⋮ Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval ⋮ Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals ⋮ Asymptotics of Hybrid Fluid Queues with Lévy Input ⋮ Optimal Rate for a Queueing System in Heavy Traffic with Superimposed On-Off Arrivals ⋮ Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims ⋮ Tail Asymptotics of the Supremum of a Regenerative Process ⋮ Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts

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