On a Theorem of Breiman and a Class of Random Difference Equations
From MaRDI portal
Publication:5448750
DOI10.1239/jap/1197908822zbMath1141.60041OpenAlexW2083445774MaRDI QIDQ5448750
Publication date: 7 March 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1197908822
tail behaviorsubexponential distributionproducts of random variablesregularly varying random variablesBreiman's Theorem
Related Items (36)
On relative stability and weighted laws of large numbers ⋮ A stochastic volatility model with flexible extremal dependence structure ⋮ Tail Behavior of Randomly Weighted Sums ⋮ Sharp concentration for the largest and smallest fragment in a \(k\)-regular self-similar fragmentation ⋮ Ruin probabilities under Sarmanov dependence structure ⋮ A phase transition for tails of the free multiplicative convolution powers ⋮ A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations ⋮ Tail behavior of conditional sojourn times in processor-sharing queues ⋮ A general approach to full-range tail dependence copulas ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Randomly weighted sums of dependent random variables with dominated variation ⋮ A multiplicative thinning‐based integer‐valued GARCH model ⋮ Revisiting the product of random variables ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ The tail probability of the product of dependent random variables from max-domains of attraction ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Tail probability of randomly weighted sums of subexponential random variables under a dependence structure ⋮ On the use of bivariate Mellin transform in bivariate random scaling and some applications ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ Asymptotics of random contractions ⋮ Tail Asymptotics for a Random Sign Lindley Recursion ⋮ A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test ⋮ THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS ⋮ Homogeneous mappings of regularly varying vectors ⋮ Random difference equations with subexponential innovations ⋮ On Exceedance Times for Some Processes with Dependent Increments ⋮ Asymptotics of Hybrid Fluid Queues with Lévy Input ⋮ The product of two dependent random variables with regularly varying or rapidly varying tails ⋮ On perpetuities with gamma-like tails ⋮ Tail Asymptotics of the Supremum of a Regenerative Process ⋮ Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ Stochastic fixed-point equation and local dependence measure ⋮ Tail probabilities of random linear functions of regularly varying random vectors ⋮ Joint extremal behavior of hidden and observable time series with applications to GARCH processes
This page was built for publication: On a Theorem of Breiman and a Class of Random Difference Equations