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Dal'nevostochnyi Matematicheskii Zhurnal, 2001, Volume 2, Number 1, Pages 53–57
(Mi dvmg89)
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Note on large deviations for heavy-tailed random sums in compound renewal model
Q. H. Тang, C. Su Department of Statistics and Finance, University of Science and Technology of China
Abstract:
In this note we investigate the precise large deviations for heavy-tailed random sums in compound renewal risk model and obtain a result which improves the related results in [5]. The proof is very simple, which shows that in some cases the compound renewal risk model can be reduced to the ordinary renewal one.
Key words:
Compound Renewal Risk Model, Extended Regular Variation, Subexponential Distribution, Large Deviations.
Received: 10.02.2001
Citation:
Q. H. Тang, C. Su, “Note on large deviations for heavy-tailed random sums in compound renewal model”, Dal'nevost. Mat. Zh., 2:1 (2001), 53–57
Linking options:
https://www.mathnet.ru/eng/dvmg89 https://www.mathnet.ru/eng/dvmg/v2/i1/p53
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Abstract page: | 192 | Full-text PDF : | 64 | References: | 56 | First page: | 1 |
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