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

Qihe Tang, Chun Su, Tao Jiang and Jinsong Zhang

Statistics & Probability Letters, 2001, vol. 52, issue 1, 91-100

Abstract: 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 Klüppelberg 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.

Keywords: (Compound); Renewal; risk; model; (Extended); Regular; variation; Large; deviations; Renewal; counting; process (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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