Precise Large Deviations for Sums of Random Variables with Consistent Variation in Dependent Multi-Risk Models

DOI10.1080/03610926.2011.648792zbMath1285.60025OpenAlexW2053494517MaRDI QIDQ2873942

Shi-jie Wang, Wen Sheng Wang

Publication date: 28 January 2014

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

Full work available at URL: https://doi.org/10.1080/03610926.2011.648792

zbMATH Keywords

large deviationconsistent variationextended negative dependencemulti-risk modelrandom array

Mathematics Subject Classification ID

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

Related Items (8)

Precise large deviations for sums of random vectors with dependent components of consistently varying tails ⋮ Precise large deviations for strong subexponential distributions and applications on a multi risk model ⋮ Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ 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 ⋮ Unnamed Item ⋮ Precise large deviations of aggregate claims with dominated variation in dependent multi-risk models ⋮ Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model

Uses Software

• QRM

Cites Work

• Unnamed Item
• Precise large deviations of random sums in presence of negative dependence and consistent variation
• Precise large deviations for negatively associated random variables with consistently varying tails
• Large deviations for random sums of negatively dependent random variables with consistently varying tails
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• Precise large deviations for dependent random variables with heavy tails
• Large deviations of heavy-tailed sums with applications in insurance
• Subexponentiality of the product of independent random variables
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• 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

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