Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory

DOI10.1016/j.spa.2006.11.003zbMath1117.60028OpenAlexW2078288647MaRDI QIDQ886118

Harri Nyrhinen

Publication date: 26 June 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.11.003

zbMATH Keywords

ruin probabilitylarge deviations theoryconvex rate functionGärtner-Ellis theorem

Mathematics Subject Classification ID

Cites Work

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