Cramér-type moderate deviation for Studentized compound Poisson sum

DOI10.1007/S10959-014-0542-3MaRDI QIDQ904710zbMATH OpenOpenAlexFDO

Authors Qiying Wang, Wang Zhou, Bing-Yi Jing

Publication date 13 January 2016

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-014-0542-3

zbMATH Keywords

Cramér large deviationself-normalized compound Poisson sumStudentized compound Poisson sum

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

Recommendations

• On the accuracy of the normal approximation to compound Poisson distributions
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Cites work

• A Cramér type large deviation result for Student's \(t\)-statistic
• Approximations for compound Poisson and Pólya processes
• Edgeworth expansions for compound Poisson processes and the bootstrap
• scientific article; zbMATH DE number 5503197 (Why is no real title available?)
• scientific article; zbMATH DE number 3005430 (Why is no real title available?)
• Large deviation results for generalized compound negative binomial risk models
• Large deviations of heavy-tailed sums with applications in insurance
• Limit theorems for self-normalized large deviation
• Normal approximation for random sums
• Precise large deviations for sums of random variables with consistently varying tails
• Probabilities of large deviations for sums of random number of i. i. d. random variables and its application to a compound Poisson process
• Refined self-normalized large deviations for independent random variables
• Saddlepoint approximations
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
• Self-normalized Cramér-type large deviations for independent random variables.
• Subexponentiality and infinite divisibility
• Uniform saddlepoint approximations

Cited in

(2)

• Asymptotic expansion for the distribution density function of the compound Poisson process in large deviations
• Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme

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