Heavy tails for an alternative stochastic perpetuity model-Reference-Cited by-同舟云学术

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Heavy tails for an alternative stochastic perpetuity model

Published:2019-11 Issue:11 Volume:129 Page:4638-4662
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Mikosch Thomas,Rezapour Mohsen,Wintenberger Olivier

Funder

an Alexander von Humboldt Award

ANR

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference16 articles.

1. Applied Probability and Queues;Asmussen,2003

2. On multivariate mandelbrot cascades;Buraczewski;J. Difference Equ. Appl.,2014

3. Stochastic Models with Power-Law Tails. The Equation X=AX+B;Buraczewski,2016

4. Large excursions and conditioned laws for recursive sequences generated by random matrices;Collamore;Ann. Probab.,2016

5. Modelling Extremal Events for Insurance and Finance;Embrechts,1997

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1. An application of risk theory to mortgage lending;Scandinavian Actuarial Journal;2021-11-16

2. Sigma-Pi Structure with Bernoulli Random Variables: Power-Law Bounds for Probability Distributions and Growth Models with Interdependent Entities;Entropy;2021-02-19

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