Large deviations for heavy-tailed random sums in compound renewal model

被引：156

作者：

Tang, Q

Su, C

Jiang, T

Zhang, JS

机构：

[1] Univ Sci & Technol China, Dept Stat & Finance, Lab Financial Engn Res, Hefei 230026, Anhui, Peoples R China

[2] Guotai J&A Secur Co Ltd, Shenzhen 518002, Guangdong, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 52卷 / 01期

基金：

中国国家自然科学基金;

关键词：

(compound) renewal risk model; (extended) regular variation; large deviations; renewal counting process;

D O I：

10.1016/S0167-7152(00)00231-5

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In the present paper we investigate the precise large deviations for heavy-tailed random sums. First, we obtain a result which improves the relative result in Kluppelberg and Mikosch (J. Appl. Probab. 34 (1997) 293). Then we introduce a more realistic risk model than classical ones, named the compound renewal model, and establish the precise large deviations in this model. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：91 / 100

页数：10

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