Large deviations of heavy-tailed sums with applications in insurance (Q1294763)

Large deviation probabilities occur in a natural way in many applied areas, so for instance in some problems of insurance. The authors give a short review of results on large deviation probabilities for sums of i.i.d. random variables with special emphasis on distributions with heavy tails. Large deviation techniques are then applied to randomly indexed sums of i.i.d. random variables and Poisson shot noise processes. The paper also indicates the close relationship between large deviation results and the modeling of large insurance claims, in particular, reinsurance. Large deviation techniques are also applied to the estimation of the ruin probability in the Cramér-Lundberg model of risk theory.