Related papers: A new approach in two-dimensional heavy-tailed dis…
In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…
This paper is organized in three parts closely related to closure properties of heavy-tailed distributions and heavy-tailed random vectors. In the first part we consider two random variables X and Y with distributions F and G respectively.…
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…
We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max"…
Motivated by a bidimensional discrete-time risk model in insurance, we study the second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggregate net losses including two business lines. These are…
In this paper we introduce and study several multivariate, heavy-tailed distribution classes, and we explore their closure properties and their applications. We consider the class of multivariate, positively decreasing distributions, and…
We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each…
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…
We consider closure properties in the class of positively decreasing distributions. Our results stem from different types of dependence, but each type belongs in the family of asymptotically independent dependence structure. Namely we…
Given an arbitrary continuous probability density function, it is introduced a conjugated probability density, which is defined through the Shannon information associated with its cumulative distribution function. These new densities are…
We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody…
Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…
In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…
Convolutions of long-tailed and subexponential distributions play a major role in the analysis of many stochastic systems. We study these convolutions, proving some important new results through a simple and coherent approach, and showing…
The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…
We characterise the learning of a mixture of two clouds of data points with generic centroids via empirical risk minimisation in the high dimensional regime, under the assumptions of generic convex loss and convex regularisation. Each cloud…
Some new survival distributions are introduced based on a generalised exponential function. This class of distributions includes heavy-tailed generalisations of exponential, Weibull and gamma distributions. Properties of the distributions…
We use the properties of the Matuszewska indices to show asymptotic inequalities for hazard rates. We discuss the relation between membership in the classes of dominatedly or extended rapidly varying tail distributions and corresponding…
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 reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…