Large deviations of random sums of some heavy-tailed random variables

zbMATH Open1085.60500MaRDI QIDQ3372785FDOQ3372785

Authors: Mingfa Zhou, Jinliang Wang, Kanmin Wang 

Publication date: 10 March 2006

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zbMATH Keywords

moment generating functionsubexponential distribution

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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• Large deviations for heavy-tailed random elements in convex cones
• A contribution to large deviations for heavy-tailed random sums
• Large deviations for heavy-tailed factor models
• On <scp>Heavy‐Tail</scp> Phenomena in Some <scp>Large‐Deviations</scp> Problems
• Moderate deviations for random sums of heavy-tailed random variables
• Quantitative bounds for large deviations of heavy tailed random variables
• Law of large numbers, heavy-tailed distributions, and the recent financial crisis
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• Some conclusions about heavy-tailed subclasses and refined large deviations
• Singularity analysis for heavy-tailed random variables

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