Random difference equations with subexponential innovations
From MaRDI portal
Publication:525896
DOI10.1007/s11425-016-0146-0zbMath1362.60064OpenAlexW2558422046MaRDI QIDQ525896
Publication date: 5 May 2017
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-016-0146-0
asymptoticsweak solutionstail probabilitiessubexponentialityrandom difference equationsKaramata index
Related Items (9)
Interplay of subexponential and dependent insurance and financial risks ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Revisiting the product of random variables ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ On perpetuities with light tails ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
Cites Work
- Unnamed Item
- Unnamed Item
- A note on the Kesten-Grincevičius-Goldie theorem
- Large deviations for solutions to stochastic recurrence equations under Kesten's condition
- Ruin probabilities with insurance and financial risks having an FGM dependence structure
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Renorming divergent perpetuities
- Asymptotics for risk capital allocations based on conditional tail expectation
- Asymptotics of stationary solutions of multivariate stochastic recursions with heavy tailed inputs and related limit theorems
- Implicit renewal theory and tails of solutions of random equations
- Explicit stationary distributions for compositions of random functions and products of random matrices
- An introduction to copulas.
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Iterated random functions and slowly varying tails
- Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Perpetuities with thin tails revisited
- Convolution tails, product tails and domains of attraction
- Random difference equations and renewal theory for products of random matrices
- Regular variation in the tail behaviour of solutions of random difference equations
- The present value of a stochastic perpetuity and the gamma distribution
- On the stochastic equation \({\mathcal L}(X)={\mathcal L}[B(X+C)\) and a property of gamma distributions]
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- The subexponentiality of products revisited
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Stochastic Models with Power-Law Tails
- Tail behaviour of stationary solutions of random difference equations: the case of regular matrices
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Extremes on the discounted aggregate claims in a time dependent risk model
- Dependence Modeling with Copulas
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
- Perpetuities with thin tails
- An Introduction to Heavy-Tailed and Subexponential Distributions
- On a Theorem of Breiman and a Class of Random Difference Equations
This page was built for publication: Random difference equations with subexponential innovations
