On convolution equivalence with applications
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Publication:850761
DOI10.3150/bj/1151525135zbMath1114.60015OpenAlexW2078247897MaRDI QIDQ850761
Publication date: 6 November 2006
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1151525135
asymptoticsuniformitystochastic equationendpointPoisson shot noiserapid variationclass \(S(\gamma)\)
Probability distributions: general theory (60E05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)
Related Items (24)
A note on product-convolution for generalized subexponential distributions ⋮ The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Subexponentiality of the product of dependent random variables ⋮ The overshoot of a random walk with negative drift ⋮ Tail asymptotic of Weibull-type risks ⋮ Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications ⋮ Random walks with non-convolution equivalent increments and their applications ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Discrete time ruin probability with Parisian delay ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Infinite-time absolute ruin in dependent renewal risk models with constant force of interest ⋮ The tail probability of the product of dependent random variables from max-domains of attraction ⋮ Extremes and products of multivariate AC-product risks ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS ⋮ The probabilities of absolute ruin in the renewal risk model with constant force of interest ⋮ The product of two dependent random variables with regularly varying or rapidly varying tails ⋮ A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables ⋮ From light tails to heavy tails through multiplier ⋮ Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model ⋮ Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
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