Large deviation results for generalized compound negative binomial risk models

DOI10.1007/S10255-007-7041-6zbMath1179.60015OpenAlexW2023921162MaRDI QIDQ1036907

Chen Shen, Fan Chao Kong

Publication date: 13 November 2009

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-7041-6

zbMATH Keywords

large deviationheavy-tailed distributionruin probabilityPoisson processnegative binomial sequence

Mathematics Subject Classification ID

Large deviations (60F10)

Related Items (1)

Cramér-type moderate deviation for Studentized compound Poisson sum

Cites Work

• A large deviation result for aggregate claims with dependent claim occurrences
• Subexponentiality of the product of independent random variables
• A contribution to large deviations for heavy-tailed random sums
• Large deviations of heavy-tailed random sums in the risk models
• Finite time ruin probabilities and large deviations for generalized compound binomial risk models
• Asymptotic results for multiplexing subexponential on-off processes
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications

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