Large deviations for the time-integrated negative parts of some processes

Claudio Macci

Statistics & Probability Letters, 2008, vol. 78, issue 1, 75-83

Abstract: In this paper we consider a family of processes which satisfies the large deviation principle with a good rate function; then we prove the large deviation principle for the family of the corresponding time-integrated negative parts, with the application of the so-called contraction principle. An explicit expression of the rate function is presented for a class of examples.

Keywords: Large; deviations; Ruin; theory; Lévy; process (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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