Precise large deviation results for the total claim amount under subexponential claim sizes

Aleksandras Baltrunas, Remigijus Leipus and Jonas Siaulys

Statistics & Probability Letters, 2008, vol. 78, issue 10, 1206-1214

Abstract: The paper deals with the renewal risk model. A precise large deviation result in the case of subexponential claim sizes is proved. As a special case, the example of Pareto distributed claim sizes and inter-occurrence times is investigated.

Date: 2008
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