Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities (Q946378)
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scientific article; zbMATH DE number 5346109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities |
scientific article; zbMATH DE number 5346109 |
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Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities (English)
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23 September 2008
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The author establishes an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of independent standard uniform random variables. This extends a corresponding result of Korshunov. As an application, a result of Tang is generalized, the uniform asymptotic estimate for the finite-time ruin probability, applicable to the whole strongly subexponential class.
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large-deviation probability
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strongly subexponential distribution
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finite-time ruin probability
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the compound Poisson model
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uniform asymptotics
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