Precise large deviations for sums of two-dimensional random vectors with dependent components of heavy tails
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Publication:2832635
DOI10.1080/03610926.2013.839794zbMath1349.60075OpenAlexW2507699580MaRDI QIDQ2832635
Publication date: 11 November 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.839794
copularandom sumsprecise large deviationsextended regular variation distributionstwo-dimensional random vectors
Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Large deviations (60F10)
Related Items (6)
Precise large deviations for sums of random vectors with dependent components of consistently varying tails ⋮ Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times ⋮ Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model ⋮ Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times ⋮ Unnamed Item ⋮ Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model
Cites Work
- Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
- Subexponentiality of the product of independent random variables
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- 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
- Large deviations for heavy-tailed random sums in compound renewal model
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