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

DOI10.1016/S0304-4149(96)00087-7zbMATH Open0879.60020OpenAlexW1994145980MaRDI QIDQ1374626FDOQ1374626

Authors: Søren Asmussen, Claudia Klüppelberg 

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

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zbMATH Keywords

random walkextreme value theoryregular variationruin probabilityinsurance riskmaximum domain of attractionsubexponential distributionpath decompositionexcursionintegrated 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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Cited In (54)

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• Efficient rare-event simulation for the maximum of heavy-tailed random walks
• The overshoot of a random walk with negative drift
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• State-independent importance sampling for random walks with regularly varying increments
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• Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models

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