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JOURNALS // Dal'nevostochnyi Matematicheskii Zhurnal // Archive

Dal'nevost. Mat. Zh., 2001 Volume 2, Number 1, Pages 53–57 (Mi dvmg89)

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

Q. H. Òang, C. Su

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

Abstract: 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.

Key words: Compound Renewal Risk Model, Extended Regular Variation, Subexponential Distribution, Large Deviations.

UDC: 519.872

MSC: Primary 60F10; Secondary 60F05

Received: 10.02.2001

Language: English



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