Note on large deviations for heavy-tailed random sums in compound renewal model
Q. H. Ďang, C. Su
2001, issue 1, Đ. 53ľ57
|In this note we investigate the precise large deviations for heavy-tailed random sums in compound renewal risk model and obtain a result which improves the related results in . The proof is very simple, which shows that in some cases the compound renewal risk model can be reduced to the ordinary renewal one.|
Keywords: Compound Renewal Risk Model, Extended Regular Variation, Subexponential Distribution, Large Deviations.
Download the article (PDF-file)
| P. Embrechts, C. Kluppelberg and T. Mikosch, Modelling Extremal Events for Insurance and Finance, Springer, Berlin, 1997.|
 D. H. Fuc and S. V. Nagaev, ôProbability inequalities for sums of independent random variablesö, Teor. Verojatnost. i Primenen., 16 (1971), 660ľ675 (Russian).
 C. Kluppelberg and T. Mikosch, ôLarge deviations of heavy-tailed random sums with applications in insurance and financeö, J. Appl. Prob., 34 (1997), 293ľ308.
 C. Su, Q. H. Tang, T. Jiang, ôA Contribution to Large Deviations for Heavy-tailed Random Sumsö, Chinese Science, 44:2 (2001).
 Q. H. Tang, C. Su, T. Jiang and J. S. Zhang, ôLarge deviations for heavy-tailed random sums in compound renewal modelö, Stat. Prob. Letters, 52:1 (2001), 91ľ100.