Discrete and Continuous Time Modulated Random Walks with Heavy-Tailed Increments
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DOI: 10.1007/s10959-007-0081-2
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References listed on IDEAS
- Veraverbeke, N., 1977. "Asymptotic behaviour of Wiener-Hopf factors of a random walk," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 27-37, February.
- Hansen, Niels Richard & Jensen, Anders Tolver, 2005. "The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 579-591, April.
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- Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
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- Jaap Geluk & Qihe Tang, 2009. "Asymptotic Tail Probabilities of Sums of Dependent Subexponential Random Variables," Journal of Theoretical Probability, Springer, vol. 22(4), pages 871-882, December.
- Foss, Sergey & Korshunov, Dmitry & Palmowski, Zbigniew, 2024. "Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
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Keywords
Random walk; Subexponential distribution; Heavy tails; Pakes-Veraverbeke theorem; Processes with independent increments; Regenerative process;All these keywords.
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