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On Large Deviations of Multivariate Heavy-Tailed Random Walks

✍ Scribed by Harri Nyrhinen


Book ID
106436915
Publisher
Springer US
Year
2008
Tongue
English
Weight
370 KB
Volume
22
Category
Article
ISSN
0894-9840

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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