Large deviation results for generalized compound negative binomial risk models

DOI10.1007/S10255-007-7041-6MaRDI QIDQ1036907zbMATH OpenOpenAlexFDO

Authors Chen Shen, Fanchao 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 deviationPoisson processruin probabilityheavy-tailed distributionnegative binomial sequence

Mathematics Subject Classification ID

Large deviations (60F10)

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Cites work

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

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(4)

• Large deviations for a negative binomial risk model based on customer-arrival
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• Cramér-type moderate deviation for Studentized compound Poisson sum
• Some large deviation results for generalized compound binomial risk models

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