Large deviations of heavy-tailed sums with applications in insurance

作者: T. Mikosch , A.V. Nagaev

DOI: 10.1023/A:1009913901219

关键词:

摘要: … called CrameÂr's series and appears in many results related to large deviations. CrameÂr's … dependent random variables or to general sequences of random variables. Large deviation …

参考文章(38)
Jean C. Walrand, George Kesidis, Review of 'Large Deviation Techniques in Decision, Simulation, and Estimation' (Bucklew, J.A.; 1990). IEEE Transactions on Information Theory. ,vol. 37, pp. 1493- ,(1991)
Vladimir Vinogradov, Refined Large Deviation Limit Theorems ,(1994)
C Embrechts, P., Klüppelberg, T Mikosch, Modelling Extremal Events: for Insurance and Finance ,(1997)
Jan Grandell, Aspects of Risk Theory ,(1992)
S. V. Nagaev, Some Limit Theorems for Large Deviations Theory of Probability and Its Applications. ,vol. 10, pp. 214- 235 ,(1965) , 10.1137/1110027
Richard S. Ellis, Entropy, large deviations, and statistical mechanics Journal of the American Statistical Association. ,vol. 82, pp. 948- ,(1985) , 10.1007/978-1-4613-8533-2
Boualem Djehiche, A large deviation estimate for ruin probabilities Scandinavian Actuarial Journal. ,vol. 1993, pp. 42- 59 ,(1993) , 10.1080/03461238.1993.10413912
P. Embrechts, N. Veraverbeke, Estimates for the probability of ruin with special emphasis on the possibility of large claims Insurance Mathematics & Economics. ,vol. 1, pp. 55- 72 ,(1982) , 10.1016/0167-6687(82)90021-X