69 citations · 178 across the 14 of their papers we have counts for
16 papers · 1 filter
Two-dimensional ruin probability for subexponential claim size
Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski +1
We analyse the asymptotics of ruin probabilities of two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified…
Asymptotics for sums of random variables with local subexponential behaviour
S. Asmussen, S. Foss, D. Korshunov
We study distributions on such that for some , . The case corresponds to being subexponential, and our ana…
Heavy tails in multi-server queues
Sergey Foss, Dmitry Korshunov
In this paper, the asymptotic behaviour of the distribution tail of the stationary waiting time in the FCFS queue is studied. Under subexponential-type assumptions on…
Asymptotics for the maximum of a modulated random walk with heavy-tailed increments
Sergey Foss, Stan Zachary
We consider asymptotics for the maximum of a modulated random walk whose increments are heavy-tailed. Of particular interest is the case where the modulating process $X…
The maximum on a random time interval of a random walk with long-tailed increments and negative drift
Sergey Foss, Stan Zachary
We study the asymptotics for the maximum on a random time interval of a random walk with a long-tailed distribution of its increments and negative drift. We extend to a general sto…
Waiting time asymptotics in the single server queue with service in random order
Onno Boxma, Sergey Foss, Jean-Marc Lasgouttes +1
We consider the single server queue with service in random order. For a large class of heavy-tailed service time distributions, we determine the asymptotic behavior of the waiting…