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Precise large deviations for consistently varying-tailed distributions in the compound renewal risk model.
- Source :
-
Lithuanian Mathematical Journal . Oct2010, Vol. 50 Issue 4, p391-400. 10p. - Publication Year :
- 2010
-
Abstract
- We investigate precise large deviations for heavy-tailed random sums. We prove a general asymptotic relation in the compound renewal risk model for consistently varying-tailed distributions. This model was introduced in [Q. Tang, C. Su, T. Jiang, and J.S. Zang, Large deviation for heavy-tailed random sums in compound renewal model, Stat. Probab. Lett., 52:91-100, 2001] as a more practical risk model. The proof is based on the inequality found in [D. Fuk and S.V. Nagaev, Probability for sums of independent random variables, Theory Probab. Appl., 16:600-675, 1971]. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03631672
- Volume :
- 50
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Lithuanian Mathematical Journal
- Publication Type :
- Academic Journal
- Accession number :
- 55129956
- Full Text :
- https://doi.org/10.1007/s10986-010-9094-0