Large deviations for sums of independent heavy-tailed random variables

被引：16

作者：

Skučaitė A. ^{[1
]}

机构：

[1] Vilnius University, LT-03225 Vilnius

来源：

Lithuanian Mathematical Journal | 2004年 / 44卷 / 2期

关键词：

Large deviations; Random sums; Regular variation; Renewal risk model;

D O I：

10.1023/B:LIMA.0000033784.64716.74

中图分类号：

学科分类号：

摘要：

We obtain precise large deviations for heavy-tailed random sums S(t) = ∑ i = 1 N (t) X i , t ≥ 0, of independent random variables. (N (t)) t ≥ 0 (are nonnegative integer-valued random variables independent of r.v. (X) ii εN with distribution functions F i . We assume that the average of right tails of distribution functions F i is equivalent to some distribution function with regularly varying tail. An example with the Pareto law as the limit function is given.

引用

页码：198 / 208

页数：10

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