Precise large deviation for the difference of two sums of random variables

DOI10.1080/03610926.2013.804568zbMath1336.60058OpenAlexW2289454662MaRDI QIDQ2807681

Dawei Lu, Xiaohu Wang, Lixin Song

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.804568

zbMATH Keywords

heavy-tailedprecise large deviationsconsistently varying tailed distributionsdifference of two sums of heavy-tailed random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Large deviations (60F10)

Cites Work

• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• On the ruin probabilities of a bidimensional perturbed risk model
• Subexponentiality of the product of independent random variables
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Asymptotic results for multiplexing subexponential on-off processes
• Precise large deviations for sums of random variables with consistently varying tails
• Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
• Integral Limit Theorems Taking Large Deviations into Account when Cramér’s Condition Does Not Hold. I
• Integral Limit Theorems Taking Large Deviations Into Account When Cramér’s Condition Does Not Hold. II
• Large deviations for heavy-tailed random sums in compound renewal model

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