Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities (Q946378)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities |
scientific article |
Statements
Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities (English)
0 references
23 September 2008
0 references
The author establishes an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of independent standard uniform random variables. This extends a corresponding result of Korshunov. As an application, a result of Tang is generalized, the uniform asymptotic estimate for the finite-time ruin probability, applicable to the whole strongly subexponential class.
0 references
large-deviation probability
0 references
strongly subexponential distribution
0 references
finite-time ruin probability
0 references
the compound Poisson model
0 references
uniform asymptotics
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
