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Precise large deviations for compound random sums in the presence of dependence structures

✍ Scribed by Yang Yang; Remigijus Leipus; Jonas Šiaulys

Book ID
116332552
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
258 KB
Volume
64
Category
Article
ISSN
0898-1221

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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