Related papers: Asymptotics of higher-order conditional tail momen…
In this paper, asymptotic behavior of convolution of distributions belonging to two subclasses of distributions with exponential tails are considered, respectively. The precise second-order tail asymptotics of the convolutions are derived…
We provide the exact large-time behavior of the tail distribution of the extinction time of a self-similar fragmentation process with a negative index of self-similarity, improving thus a previous result on the logarithmic asymptotic…
For a stochastic difference equation $D_n=A_nD_{n-1}+B_n$ which stabilises upon time we study tail distribution asymptotics of $D_n$ under the assumption that the distribution of $\log(1+|A_1|+|B_1|)$ is heavy-tailed, that is, all its…
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 present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…
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 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 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…
Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes of the i.i.d. innovation sequence which leads…
Correlation mixtures of elliptical copulas arise when the correlation parameter is driven itself by a latent random process. For such copulas, both penultimate and asymptotic tail dependence are much larger than for ordinary elliptical…
We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…
In the context of communication networks, the framework of stochastic event graphs allows a modeling of control mechanisms induced by the communication protocol and an analysis of its performances. We concentrate on the logarithmic tail…
We examine a distributional fixed-point equation related to a multi-type branching process that is key in the cluster sizes analysis of multivariate heavy-tailed Hawkes processes. Specifically, we explore the tail behavior of its solution…
We investigate the tail behaviour of the steady state distribution of a stochastic recursion that generalises Lindley's recursion. This recursion arises in queuing systems with dependent interarrival and service times, and includes…
This paper considers the tail asymptotics for a cumulative process $\{B(t); t \ge 0\}$ sampled at a heavy-tailed random time $T$. The main contribution of this paper is to establish several sufficient conditions for the asymptotic equality…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
We study the consistency and weak convergence of the conditional tail function and conditional Hill estimators under broad dependence assumptions for a heavy-tailed response sequence and a covariate sequence. Consistency is established…
We consider a two-node fluid network with batch arrivals of random size having a heavy-tailed distribution. We are interested in the tail asymptotics for the stationary distribution of a two-dimensional queue-length process. The tail…
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…
We study the large-time asymptotic of renewal-reward processes with a heavy-tailed waiting time distribution. It is known that the heavy tail of the distribution produces an extremely slow dynamics, resulting in a singular large deviation…