Dariusz Buraczewski Ewa Damek Thomas Mikosch The Equation X = AX + B Page 1
Springer Series in Operations Research and Financial Engineering Dariusz Buraczewski …

Heavy tails–extreme events or values more common than expected–emerge everywhere:
the economy, natural events, and social and information networks are just a few examples …

Margin requirements for derivative contracts serve as a buffer against the transmission of
losses through the financial system by protecting one party to a contract against default by …

Consider an insurer who makes risky investments and hence faces both insurance and
financial risks. The insurance business is described by a discrete-time risk model modulated …

Let (gn) n⩾ 1 be a sequence of independent identically distributed d× d real random
matrices with Lyapunov exponent λ. For any starting point x on the unit sphere in R d, we …

Large deviation estimates for branching random walks Page 1 ESAIM: PS 23 (2019) 823–840
ESAIM: Probability and Statistics https://doi.org/10.1051/ps/2019006 www.esaim-ps.org …

We study one-dimensional nearest neighbour random walk in site-dependent random
environment. We establish precise (sharp) large deviations in the so-called ballistic regime …

Consider (gn) n≥ 1 a sequence of independent and identically distributed random matrices
and the left random walk G n:= gn… g 1, n≥ 1 on the general linear group GL (d, R). Under …

Consider the matrix products $ G_n:= g_n\ldots g_1 $, where $(g_ {n}) _ {n\geq 1} $ is a
sequence of independent and identically distributed positive random $ d\times d $ matrices …

We consider the branching process in random environment $\{Z_n\} _ {n\geq 0} $, which is
a~ population growth process where individuals reproduce independently of each other with …