Large deviations results for subexponential tails, with applications to insurance risk

DOI10.1016/S0304-4149(96)00087-7zbMath0879.60020OpenAlexW1994145980MaRDI QIDQ1374626

Claudia Klüppelberg, Soren Asmussen

Publication date: 10 December 1997

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(96)00087-7

zbMATH Keywords

regular variationrandom walkruin probabilityextreme value theorysubexponential distributionpath decompositioninsurance riskmaximum domain of attractionexcursionintegrated tailtotal variation convergenceconditioned limit theoremdownwards skip-free process

Mathematics Subject Classification ID

Large deviations (60F10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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