Large deviations of heavy-tailed sums with applications in insurance

DOI10.1023/A:1009913901219zbMATH Open0927.60037MaRDI QIDQ1294763FDOQ1294763

Authors: T. Mikosch, Alexander V. Nagaev 

Publication date: 10 August 1999

Published in: Extremes (Search for Journal in Brave)

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zbMATH Keywords

heavy tailslarge deviationruin probabilityreinsurance[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Cram%EF%BF%BD%EF%BF%BDr-Lundberg+model&go=Go Cram��r-Lundberg model]shot noisetotal claim amount

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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