Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution

DOI10.1137/S0040585X97979019zbMATH Open1005.60060MaRDI QIDQ3147233FDOQ3147233

Dmitry Korshunov

Publication date: 18 September 2002

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

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zbMATH Keywords

subexponential distributionlarge deviation probabilitiesintegrated tail distributionhomogeneous Markov chainmaxima of sums of random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Cited In (41)

• Asymptotic results for a non-standard random walk
• Weighted sums of subexponential random variables and their maxima
• Uniform asymptotics of the finite-time ruin probability for all times
• Heavy tails of a Lévy process and its maximum over a random time interval
• Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
• Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
• Precise large deviations for strong subexponential distributions and applications on a multi risk model
• On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
• Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Branching processes with immigration in atypical random environment
• Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
• A property of the renewal counting process with application to the finite-time ruin probability
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Title not available (Why is that?)
• Title not available (Why is that?)
• Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model
• The finite-time ruin probability for an inhomogeneous renewal risk model
• Maxima of increments of partial sums for certain subexponential distributions
• Insurance with borrowing: first- and second-order approximations
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• Asymptotics of randomly stopped sums in the presence of heavy tails
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
• The uniform local asymptotics for a Lévy process and its overshoot and undershoot
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Maxima of sums and random sums for negatively associated random variables with heavy tails
• Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
• Homogeneous models and generic extensions
• Slowly varying asymptotics for signed stochastic difference equations
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
• On the non-closure under convolution for strong subexponential distributions
• Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model

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