Lower bounds of large deviation for sums of long-tailed claims in a multi-risk model

DOI10.1016/J.SPL.2012.03.020MaRDI QIDQ449376zbMATHOpenAlexFDO

Authors Dawei Lu

Publication date 30 August 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.03.020

zbMATH Keywords

large deviationlong-tailed classmulti-risk model

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cites work

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• Large deviations for heavy-tailed random sums in compound renewal model
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Large deviations of sums of independent random variables
• Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
• Precise large deviations for consistently varying-tailed distributions in the compound renewal risk model
• Precise large deviations for sums of negatively dependent random variables with common long-tailed distributions
• Precise large deviations for sums of random variables with consistently varying tails

Cited in

(13)

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• Precise large deviations for non-centralized sums of partial sums and random sums of heavy-tailed END random variables
• Precise large deviations of aggregate claims with dominated variation in dependent multi-risk models
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• Precise large deviations for strong subexponential distributions and applications on a multi risk model
• Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times
• Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
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• Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model
• Precise large deviations for the difference of two sums of WUOD and non identically distributed random variables with dominatedly varying tails

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