On large deviations of multivariate heavy-tailed random walks

DOI10.1007/S10959-008-0194-2zbMath1161.60011OpenAlexW1968339320MaRDI QIDQ1014062

Harri Nyrhinen

Publication date: 24 April 2009

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-008-0194-2

zbMATH Keywords

large deviationrandom walkheavy tail

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Large deviations (60F10)

Cites Work

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• Large deviations view points for heavy-tailed random walks
• Large deviations results for subexponential tails, with applications to insurance risk
• A note on logarithmic tail asymptotics and mixing
• A characterization of multivariate regular variation.
• Functional large deviations for multivariate regularly varying random walks
• Power estimates for ruin probabilities
• Large deviations of sums of independent random variables

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