Large deviations for estimators of unknown probabilities, with applications in risk theory

Claudio Macci

Statistics & Probability Letters, 2011, vol. 81, issue 1, 16-24

Abstract: We present large deviation results for estimators of unknown probabilities which satisfy a suitable exponential decay condition. These results provide some extensions of the large deviation estimates given in Macci and Petrella (2006). Furthermore we propose a classical approach which is different from the one presented in Ganesh et al. (1998) and we cannot say that the Bayesian approach is more conservative as in that paper.

Keywords: Large; deviations; Varadhan's; Lemma; Level; crossing; probability; Compound; Poisson; process; Brownian; motion (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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