On Exceedance Times for Some Processes with Dependent Increments
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Publication:5416546
DOI10.1239/jap/1395771419zbMath1296.60120arXiv1205.5793OpenAlexW2594310696MaRDI QIDQ5416546
Soren Asmussen, Sergeĭ Georgievich Foss
Publication date: 14 May 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.5793
regular variationregenerative processrandom walksubexponential distributionruin timemean excess functionMarkov modulationBreiman's theoremconditioned limit theoremBjörk-Grandell model
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Passage time and fluctuation calculations for subexponential Lévy processes ⋮ Seasonal count time series ⋮ Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin ⋮ Two-dimensional ruin probability for subexponential claim size
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