Related papers: Maxima over random time intervals for heavy-tailed…
We formulate the insurance risk process in a general Levy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to…
We propose a new modification of the coupling method for renewal process in continuous time. We call this modification "the stationary coupling method", and construct it primarily to obtain the bounds for convergence rate of the…
We consider a Markov chain on $R^+$ with asymptotically zero drift and finite second moments of jumps which is positive recurrent. A power-like asymptotic behaviour of the invariant tail distribution is proven; such a heavy-tailed invariant…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
For a recurrent linear diffusion on $\R_+$ we study the asymptotics of the distribution of its local time at 0 as the time parameter tends to infinity. Under the assumption that the L\'evy measure of the inverse local time is subexponential…
We consider renewal processes where events, which can for instance be the zero crossings of a stochastic process, occur at random epochs of time. The intervals of time between events, $\tau_{1},\tau_{2},...$, are independent and identically…
The aim of this paper is to get asymptotic deviation bounds via a Large Deviation Principle (LDP) for cumulative processes also known as compound renewal processes or renewal-reward processes. These processes cumulate independent random…
The L\'evy walk process with rests is discussed. The jumping time is governed by an $\alpha$-stable distribution with $\alpha>1$ while a waiting time distribution is Poissonian and involves a position-dependent rate which reflects a…
The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L\'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of…
We characterize the second order subexponentiality of an infinitely divisible distribution on the real line under an exponential moment assumption. We investigate the asymptotic behaviour of the difference between the tails of an infinitely…
We extend Goldie's (1991) Implicit Renewal Theorem to enable the analysis of recursions on weighted branching trees. We illustrate the developed method by deriving the power tail asymptotics of the distributions of the solutions R to: R =_D…
In this paper, we investigate the asymptotic behavior of supercritical branching Markov processes $\{\mathbb{X}_t, t \ge0\}$ whose spatial motions are L\'evy processes with regularly varying tails. Recently, Ren et al. [Appl. Probab. 61…
Using a very simple argument based on the indepenence of increments and the fact that in a finite dimensional space $R^{d}$ there are not too many directions, we derive a theorem stating that exit time of any (non-constant) L\'{e}vy process…
We study the maximum of the random assignment process on rectangular matrices. We derive first-order asymptotics for the expected maximum, prove a law of large numbers under mild tail assumptions, and obtain exponential upper bounds for the…
In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual…
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-linear gradient drifts. Our results provide parametric…
We identify general conditions under which regenerative processes with dependent cycles and cycle lengths are asymptotically independent. The result is applied to various models. In particular, independent L\'evy processes with dependent…
Recent models of the insurance risk process use a L\'evy process to generalise the traditional Cram\'er-Lundberg compound Poisson model. This paper is concerned with the behaviour of the distributions of the overshoot and undershoots of a…
This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. The study is conducted within a framework comprising two…
We study distributions $F$ on $[0,\infty)$ such that for some $T\le\infty$, $F^{*2}(x,x+T]\sim 2 F(x,x+T]$. The case $T=\infty$ corresponds to $F$ being subexponential, and our analysis shows that the properties for $T<\infty$ are, in fact,…