This paper studies the approximation of extreme quantiles of random sums of heavy-tailed random variables, or, more specifically, subexponential random variables. A key application of this ...

Let P = (pjk) be the transition matrix of an ergodic, finite Markov chain with no cyclically moving sub-classes. For each possible transition (j, k), let Hjk(x) be a distribution function admitting a ...

This note suggests that expressing a distribution function as a mixture of suitably chosen distribution functions leads to improved methods for generating random variables in a computer. The idea is ...