Convolutions of Long-Tailed and Subexponential Distributions

DOI10.1239/jap/1253279850zbMath1178.60011arXiv0810.1994OpenAlexW2133512998MaRDI QIDQ3182430

Stan Zachary, Dmitrii Korshunov, Sergeĭ Georgievich Foss

Publication date: 8 October 2009

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

Full work available at URL: https://arxiv.org/abs/0810.1994

zbMATH Keywords

convolutionsubexponential distributionlong tailed distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Large deviations (60F10)

Related Items (15)

On Asymptotic Expansion for Mathematical Expectation of a Renewal--Reward Process with Dependent Components and Heavy-Tailed Interarrival Times ⋮ Second-order asymptotics of ruin probabilities for semiexponential claims ⋮ Unnamed Item ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Precise large deviations for long-tailed distributions ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ Tail asymptotics for delay in a half-loaded \(\mathrm{GI}/\mathrm{GI}/2\) queue with heavy-tailed job sizes ⋮ Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands ⋮ Closure property and maximum of randomly weighted sums with heavy-tailed increments ⋮ Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory ⋮ Tail probability of a random sum with a heavy-tailed random number and dependent summands ⋮ Extremal dependence of random scale constructions ⋮ Uniform approximation of the tail probability of weighted sums of subexponential random variables ⋮ Aggregation of log-linear risks ⋮ Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

Cites Work

• On convolution tails
• The class of subexponential distributions
• Asymptotics for sums of random variables with local subexponential behaviour
• Subexponential distributions and integrated tails
• On the tails of waiting-time distributions
• Subexponentiality and infinite divisibility
• Applied Probability and Queues
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Convolutions of Long-Tailed and Subexponential Distributions