✦ LIBER ✦

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

✍ Scribed by Qihe Tang; Chun Su; Tao Jiang; Jinsong Zhang

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 104 KB
Volume: 52
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(00)00231-5

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✦ Synopsis

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 Kl uppelberg 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.