Large deviations for random sums of differences between two sequences of random variables with applications to risk theory
DOI10.1186/1029-242X-2012-248zbMath1278.60057OpenAlexW2164584223WikidataQ59291112 ScholiaQ59291112MaRDI QIDQ385821
Jie Liu, Yuquan Cang, Yang Yang
Publication date: 11 December 2013
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/1029-242x-2012-248
subexponential distributionrandom sumprecise large deviationscustomer-arrival-based insurance risk modelhazard ratio index
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)
Cites Work
- Corrigendum to ``Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
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- Precise large deviations for negatively associated random variables with consistently varying tails
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- Precise large deviation results for the total claim amount under subexponential claim sizes
- Large deviations of heavy-tailed sums with applications in insurance
- Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
- 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
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