Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
From MaRDI portal
Publication:3147233
DOI10.1137/S0040585X97979019zbMath1005.60060MaRDI QIDQ3147233
Publication date: 18 September 2002
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
homogeneous Markov chainsubexponential distributionlarge deviation probabilitiesintegrated tail distributionmaxima of sums of random variables
Sums of independent random variables; random walks (60G50) Probability distributions: general theory (60E05) Large deviations (60F10)
Related Items (34)
The maximum on a random time interval of a random walk with long-tailed increments and negative drift. ⋮ The finite-time ruin probability for an inhomogeneous renewal risk model ⋮ Branching processes with immigration in atypical random environment ⋮ Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims ⋮ The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution ⋮ On the non-closure under convolution for strong subexponential distributions ⋮ Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times ⋮ Precise large deviations for strong subexponential distributions and applications on a multi risk model ⋮ Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model ⋮ Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence ⋮ Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims ⋮ Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes ⋮ Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model ⋮ Uniform asymptotics of the finite-time ruin probability for all times ⋮ Asymptotics of randomly stopped sums in the presence of heavy tails ⋮ Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate ⋮ Finite-horizon ruin probability asymptotics in the compound discrete-time risk model ⋮ Weighted sums of subexponential random variables and their maxima ⋮ Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities ⋮ Insurance with borrowing: first- and second-order approximations ⋮ On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes ⋮ Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift ⋮ Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model ⋮ Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables ⋮ Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot ⋮ Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model ⋮ Heavy tails of a Lévy process and its maximum over a random time interval ⋮ A property of the renewal counting process with application to the finite-time ruin probability ⋮ Slowly varying asymptotics for signed stochastic difference equations ⋮ Homogeneous models and generic extensions ⋮ The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk ⋮ Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
This page was built for publication: Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
