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Moderate Deviations for Random Sums of Heavy-Tailed Random Variables

✍ Scribed by Fu Qing Gao


Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2007
Tongue
English
Weight
179 KB
Volume
23
Category
Article
ISSN
1439-7617

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Large deviations for heavy-tailed random
✍ Qihe Tang; Chun Su; Tao Jiang; Jinsong Zhang πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 104 KB

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 compo