Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities

被引：0

作者：

Jiang Tao ^{[1
]}

机构：

[1] Zhejiang Gongshang Univ, Sch Finance, Hangzhou 310018, Peoples R China

来源：

SCIENCE IN CHINA SERIES A-MATHEMATICS | 2008年 / 51卷 / 07期

基金：

中国国家自然科学基金;

关键词：

large-deviation probability; strongly subexponential distribution; finite-time ruin probability; the compound Poisson model;

D O I：

10.1007/s11425-008-0083-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of i.i.d. standard uniform random variables. This extends a corresponding result of Korshunov. As an application, we generalize a result of Tang, the uniform asymptotic estimate for the finite-time ruin probability, to the whole strongly subexponential class.

引用

页码：1257 / 1265

页数：9

共 20 条

[1] Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
JIANG Tao School of Finance
Science in China(Series A:Mathematics), 2008, (07) : 1257 - 1265
[2] Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
Tao Jiang
Science in China Series A: Mathematics, 2008, 51 : 1257 - 1265
[3] Estimate from below for large-deviation probabilities of a sum of independent random variables with finite variances
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[9] Finite-time ruin probabilities using bivariate Laguerre series
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SCANDINAVIAN ACTUARIAL JOURNAL, 2023, 2023 (02) : 153 - 190
[10] On finite-time ruin probabilities in a generalized dual risk model with dependence
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