Precise large deviations for subexponential distributions in a multi risk model

Dimitrios G. Konstantinides

The precise large deviations asymptotics for the sums of independent identical random variables when the distribution of the summand belongs to the class S * S* of heavy tailed distributions is studied. Under mild conditions, we extend the previous results from the paper Denisov et al. (2010) to asymptotics that are valid uniformly over some time interval. Finally, we apply the main result on the multi-risk model introduced by Wang and Wang (2007).

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Year of publication:	June 2018
Authors:	Konstantinides, Dimitrios G.
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 2, p. 1-13
Subject:	heavy tails \| large deviations \| multi-risk model \| Statistische Verteilung \| Statistical distribution \| Wahrscheinlichkeitsrechnung \| Probability theory \| Theorie \| Theory \| Risiko \| Risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks6020027 [DOI] hdl:10419/195819 [Handle]
Classification:	F10 - Trade. General ; f05 ; g50
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011811734