Lower bounds of large deviation for sums of long-tailed claims in a multi-risk model

DOI10.1016/J.SPL.2012.03.020zbMath1246.91064OpenAlexW2045906599MaRDI QIDQ449376

Dawei Lu

Publication date: 30 August 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.020

zbMATH Keywords

large deviationlong-tailed classmulti-risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) 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 ⋮ 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 the difference of two sums of WUOD and non identically distributed random variables with dominatedly varying tails ⋮ Precise large deviations for the difference of two sums of END random variables with heavy tails ⋮ 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

Cites Work

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• Precise large deviations for consistently varying-tailed distributions in the compound renewal risk model
• Precise Large Deviations for Sums of Negatively Dependent Random Variables with Common Long-Tailed Distributions
• 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 of sums of independent random variables
• Large deviations for heavy-tailed random sums in compound renewal model

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