Precise large deviation results for the total claim amount under subexponential claim sizes
From MaRDI portal
Publication:935826
DOI10.1016/j.spl.2007.11.016zbMath1145.60018MaRDI QIDQ935826
Jonas Šiaulys, Remigijus Leipus, Aleksandras Baltrūnas
Publication date: 8 August 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.016
60F10: Large deviations
Related Items
Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals, Elementary renewal theorems for widely dependent random variables with applications to precise large deviations, Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model, Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims, Precise large deviations for compound random sums in the presence of dependence structures, Large deviations for random sums of differences between two sequences of random variables with applications to risk theory, Extended precise large deviations of random sums in the presence of END structure and consistent variation, Precise large deviations of random sums in presence of negative dependence and consistent variation, Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model, Web renewal counting processes and their applications in insurance, A property of the renewal counting process with application to the finite-time ruin probability, Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model, Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure, Several properties of a nonstandard renewal counting process and their applications, Precise large deviations for sums of random vectors with dependent components of consistently varying tails, Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model, Precise large deviations for a customer-based individual risk model, Precise large deviations of aggregate claims in a risk model with regression-type size-dependence, Precise large deviations of aggregate claims in a size-dependent renewal risk model, Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times, Precise large deviations for aggregate claims, Precise large deviations of aggregate claim amount in a dependent renewal risk model, Asymptotic behaviour of the finite-time ruin probability in renewal risk models
Cites Work
- Unnamed Item
- Second order behaviour of ruin probabilities in the case of large claims
- 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
- Large deviations for heavy-tailed random sums in compound renewal model