Large deviations of heavy-tailed sums with applications in insurance
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Publication:1294763
DOI10.1023/A:1009913901219zbMath0927.60037MaRDI QIDQ1294763
Alexander V. Nagaev, Thomas Mikosch
Publication date: 10 August 1999
Published in: Extremes (Search for Journal in Brave)
large deviationheavy tailsruin probabilityreinsuranceshot noiseCramér-Lundberg modeltotal claim amount
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10)
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