IDEAS home Printed from https://ideas.repec.org/r/eee/spapps/v13y1982i3p263-278.html
   My bibliography  Save this item

On convolution tails

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Omey, Edward & Vesilo, R., 2009. "Random Sums of Random Variables and Vectors," Working Papers 2009/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  2. Schlegel, Sabine, 1998. "Ruin probabilities in perturbed risk models," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 93-104, May.
  3. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
  4. Korshunov, D., 1997. "On distribution tail of the maximum of a random walk," Stochastic Processes and their Applications, Elsevier, vol. 72(1), pages 97-103, December.
  5. Wang, Yuebao & Yang, Yang & Wang, Kaiyong & Cheng, Dongya, 2007. "Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 256-266, March.
  6. Neveka M. Olmos & Emilio Gómez-Déniz & Osvaldo Venegas, 2022. "The Heavy-Tailed Gleser Model: Properties, Estimation, and Applications," Mathematics, MDPI, vol. 10(23), pages 1-16, December.
  7. Zhaolei Cui & Yuebao Wang & Hui Xu, 2022. "Local Closure under Infinitely Divisible Distribution Roots and Esscher Transform," Mathematics, MDPI, vol. 10(21), pages 1-24, November.
  8. Toshiro Watanabe & Kouji Yamamuro, 2010. "Local Subexponentiality and Self-decomposability," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1039-1067, December.
  9. Danilenko, Svetlana & Šiaulys, Jonas, 2016. "Randomly stopped sums of not identically distributed heavy tailed random variables," Statistics & Probability Letters, Elsevier, vol. 113(C), pages 84-93.
  10. Yang, Xiangfeng, 2015. "Exact upper tail probabilities of random series," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 13-19.
  11. M. S. Sgibnev, 1998. "On the Asymptotic Behavior of the Harmonic Renewal Measure," Journal of Theoretical Probability, Springer, vol. 11(2), pages 371-382, April.
  12. Sgibnev, M. S., 2001. "On the exact asymptotic behaviour of the distribution of the supremum in the "critical" case," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 357-362, October.
  13. Braverman, Michael, 1997. "Suprema and sojourn times of Lévy processes with exponential tails," Stochastic Processes and their Applications, Elsevier, vol. 68(2), pages 265-283, June.
  14. Griffin, Philip S. & Maller, Ross A. & Schaik, Kees van, 2012. "Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 382-392.
  15. Sgibnev, M. S., 2001. "Exact asymptotic behaviour of the distribution of the supremum," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 301-311, April.
  16. Willmot, Gordon E., 1997. "On the relationship between bounds on the tails of compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 95-103, April.
  17. Toshiro Watanabe & Kouji Yamamuro, 2017. "Two Non-closure Properties on the Class of Subexponential Densities," Journal of Theoretical Probability, Springer, vol. 30(3), pages 1059-1075, September.
  18. Baurdoux, Erik J. & Palmowski, Z & Pistorius, Martijn R, 2017. "On future drawdowns of Lévy processes," LSE Research Online Documents on Economics 84342, London School of Economics and Political Science, LSE Library.
  19. Vaios Dermitzakis & Susan M. Pitts & Konstadinos Politis, 2010. "Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin," Methodology and Computing in Applied Probability, Springer, vol. 12(1), pages 155-175, March.
  20. Albin, J.M.P. & Sundén, Mattias, 2009. "On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes," Stochastic Processes and their Applications, Elsevier, vol. 119(1), pages 281-304, January.
  21. Toshiro Watanabe, 2021. "Two Hypotheses on the Exponential Class in the Class Of O-subexponential Infinitely Divisible Distributions," Journal of Theoretical Probability, Springer, vol. 34(2), pages 852-873, June.
  22. Horst, Ulrich, 2007. "Stochastic cascades, credit contagion, and large portfolio losses," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 25-54, May.
  23. Yu, Changjun & Wang, Yuebao & Yang, Yang, 2010. "The closure of the convolution equivalent distribution class under convolution roots with applications to random sums," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 462-472, March.
  24. Griffin, Philip S., 2022. "Path decomposition of a reflected Lévy process on first passage over high levels," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 29-47.
  25. Yu, Changjun & Wang, Yuebao & Cui, Zhaolei, 2010. "Lower limits and upper limits for tails of random sums supported on," Statistics & Probability Letters, Elsevier, vol. 80(13-14), pages 1111-1120, July.
  26. Søren Asmussen & Serguei Foss & Dmitry Korshunov, 2003. "Asymptotics for Sums of Random Variables with Local Subexponential Behaviour," Journal of Theoretical Probability, Springer, vol. 16(2), pages 489-518, April.
  27. Gareth W. Peters & Rodrigo S. Targino & Pavel V. Shevchenko, 2013. "Understanding Operational Risk Capital Approximations: First and Second Orders," Papers 1303.2910, arXiv.org.
  28. Toshiro Watanabe, 2022. "Embrechts–Goldie’s Problem on the Class of Lattice Convolution Equivalent Distributions," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2622-2642, December.
  29. Wang, Kaiyong & Yang, Yang & Yu, Changjun, 2013. "Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1504-1512.
  30. Sgibnev, M. S., 1997. "Submultiplicative moments of the supremum of a random walk with negative drift," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 377-383, April.
  31. Palmowski, Zbigniew & Vlasiou, Maria, 2011. "A Lévy input model with additional state-dependent services," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1546-1564, July.
  32. Braverman, Michael & Samorodnitsky, Gennady, 1995. "Functionals of infinitely divisible stochastic processes with exponential tails," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 207-231, April.
  33. Chen, Yu & Su, Chun, 2006. "Finite time ruin probability with heavy-tailed insurance and financial risks," Statistics & Probability Letters, Elsevier, vol. 76(16), pages 1812-1820, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.