Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities

DOI10.1007/s11425-008-0083-2zbMath1149.91037OpenAlexW2047003740MaRDI QIDQ946378

Tao Jiang

Publication date: 23 September 2008

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-008-0083-2

zbMATH Keywords

uniform asymptoticsfinite-time ruin probabilitystrongly subexponential distributionlarge-deviation probabilitythe compound Poisson model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

Uniform asymptotics of the finite-time ruin probability for all times ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ A property of the renewal counting process with application to the finite-time ruin probability

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