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ЖУРНАЛЫ // Дальневосточный математический журнал // Архив

Дальневост. матем. журн., 2001, том 2, номер 1, страницы 53–57 (Mi dvmg89)

Note on large deviations for heavy-tailed random sums in compound renewal model

Q. H. Тang, C. Su

Department of Statistics and Finance, University of Science and Technology of China

Аннотация: In this note we investigate the precise large deviations for heavy-tailed random sums in compound renewal risk model and obtain a result which improves the related results in [5]. The proof is very simple, which shows that in some cases the compound renewal risk model can be reduced to the ordinary renewal one.

Ключевые слова: Compound Renewal Risk Model, Extended Regular Variation, Subexponential Distribution, Large Deviations.

УДК: 519.872

MSC: Primary 60F10; Secondary 60F05

Поступила в редакцию: 10.02.2001

Язык публикации: английский



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