Large deviation probabilities for random walks with semiexponential distributions

DOI10.1023/A:1004864002443zbMath0969.60048OpenAlexW179154064MaRDI QIDQ5932605

Aleksandr A. Borovkov

Publication date: 10 June 2001

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/121253

zbMATH Keywords

heavy tailsCramér series

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Large deviations (60F10)

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Deviation inequalities for martingales with applications ⋮ Second-order asymptotics of ruin probabilities for semiexponential claims ⋮ Large-deviation results for triangular arrays of semiexponential random variables ⋮ A Bernstein type inequality and moderate deviations for weakly dependent sequences ⋮ On Cramer approximations under violation of Cramer's condition ⋮ Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition ⋮ Uniform approximations for the \(M/G/1\) queue with subexponential processing times ⋮ Subexponential asymptotics of hybrid fluid and ruin models ⋮ Exponential concentration inequalities for additive functionals of Markov chains ⋮ Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals ⋮ Homogeneous models and generic extensions ⋮ Large deviations at the transition for sums of Weibull-like random variables

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