scientific article

From MaRDI portal
Publication:3860550

zbMath0425.60011MaRDI QIDQ3860550

Paul Embrechts, Charles M. Goldie

Publication date: 1980


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (only showing first 100 items - show all)

Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid caseOn relative stability and weighted laws of large numbersA stochastic volatility model with flexible extremal dependence structureOn the long tail property of product convolutionMultivariate subexponential distributions and their applicationsAsymptotics of convolution with the semi-regular-variation tail and its application to riskOn the closure under infinitely divisible distribution rootsSubexponentiality of the product of dependent random variablesConvolutions of Long-Tailed and Subexponential DistributionsClosure properties of \(O\)-exponential distributionsMonotonicity and condensation in homogeneous stochastic particle systemsRandom convolution of inhomogeneous distributions with \(\mathcal {O} \)-exponential tailCoherent Risk Measures Under Dominated VariationOn the behavior of the product of independent random variablesThe asymptotic behavior of one-sided large deviation probabilities. IOn the random max-closure for heavy-tailed random variablesTails of subordinated laws: The regularly varying caseLarge deviations results for subexponential tails, with applications to insurance riskSubexponential distribution functions in \(R^{d}\)Maxima of Poisson-like variables and related triangular arraysThe asymptotic hazard rate of sums of discrete random variablesSufficient conditions for the subexponential property of the convolution of two distributionsExtremal behavior of stochastic integrals driven by regularly varying Lévy processesSome discussions on the local distribution classesA general approach to full-range tail dependence copulasInterplay of subexponential and dependent insurance and financial risksA note on max-sum equivalenceAsymptotic behavior of the ratio of tail probabilities of sum and maximum of independent random variablesA new class of large claim size distributions: definition, properties, and ruin theoryOn asymptotic equivalence among the solutions of some defective renewal equationsExtensions of Breiman's theorem of product of dependent random variables with applications to ruin theoryRenewal theory for random variables with a heavy tailed distribution and finite varianceOn a closure property of convolution equivalent class of distributionsThe Wiener condition and the conjectures of Embrechts and GoldieConvolution and convolution-root properties of long-tailed distributionsSecond-order asymptotics for convolution of distributions with light tailsNew examples of heavy-tailed O-subexponential distributions and related closure propertiesIterated random functions and slowly varying tailsFinite time ruin probability with heavy-tailed insurance and financial risksLimit theory for the largest eigenvalues of sample covariance matrices with heavy-tailsThe local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summandsThe tail probability of the product of dependent random variables from max-domains of attractionAsymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival timesOn convolution tailsMax-sum equivalence of conditionally dependent random variablesSome properties of the exponential distribution class with applications to risk theoryApproximations of the tail probability of the product of dependent extremal random variables and applicationsUniform asymptotics for the tail probability of weighted sums with heavy tailsRuin probability in the presence of interest earnings and tax paymentsClosure property and maximum of randomly weighted sums with heavy-tailed incrementsJoint temporal and contemporaneous aggregation of random-coefficient AR(1) processes with infinite varianceAsymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service timeThe subexponentiality of products revisitedConvolution equivalence and distributions of random sumsHomogeneous mappings of regularly varying vectorsExtreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time seriesMultivariate subexponential distributionsTail behavior of random products and stochastic exponentialsAsymptotic ordering of risks and ruin probabilitiesMoment condition tests for heavy tailed time seriesTail behavior of sums and maxima of sums of dependent subexponential random variablesRatio of the tail of an infinitely divisible distribution on the line to that of its Lévy measureTail behavior of supremum of a random walk when Cramér's condition failsExtending statistics of extremes to distributions varying in position and scale and the implications for race modelsCharacterizations and examples of hidden regular variationThe product of two dependent random variables with regularly varying or rapidly varying tailsAsymptotics in the symmetrization inequalityThe closure of the convolution equivalent distribution class under convolution roots with applications to random sumsFrom light tails to heavy tails through multiplierExtremal attractors of Liouville copulasTwo hypotheses on the exponential class in the class of \(O\)-subexponential infinitely divisible distributionsWeighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equitiesSome new equivalent conditions on asymptotics and local asymptotics for random sums and their applicationsTail behavior of the sums of dependent and heavy-tailed random variablesOn the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processesPrecise large deviations for dependent subexponential variablesNew limit formulas for the convolution of a function with a measure and their applicationsInverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable lawsAsymptotic results for heavy-tailed distributions using defective renewal equationsSome closure properties for subexponential distributionsAsymptotic ordering of distribution functions and convolution semigroupsMaximum on a random time interval of a random walk with infinite meanA note on convolutions of compound geometric distributionsRelationships between pure tail orderings of lifetime distributions and some concepts of residual lifeSome properties of subexponential distributionsConsistency for least squares regression estimators with infinite variance dataSome positive conclusions related to the Embrechts-Goldie conjectureThe Finite-Time Ruin Probability with Dependent Insurance and Financial RisksThe eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tailsInfinite divisibility and generalized subexponentialityAsymptotic tail probabilities of sums of dependent subexponential random variablesSubexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilitiesPrecise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.Embrechts-Goldie's problem on the class of lattice convolution equivalent distributionsMore limit theory for the sample correlation function of moving averagesRuin with insurance and financial risks following the least risky FGM dependence structureTail negative dependence and its applications for aggregate loss modelingConvolution tails, product tails and domains of attractionSubexponentiality of the product of independent random variablesThe full solution of the convolution closure problem for convolution- equivalent distributions




This page was built for publication: