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Titolo:
A contribution to large deviations for heavy-tailed random sums
Autore:
Su, C; Tang, QH; Jiang, T;
Indirizzi:
Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China Univ Sci & Technol China Hefei Peoples R China 230026 6, Peoples R China
Titolo Testata:
SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
fascicolo: 4, volume: 44, anno: 2001,
pagine: 438 - 444
SICI:
1001-6511(200104)44:4<438:ACTLDF>2.0.ZU;2-W
Fonte:
ISI
Lingua:
ENG
Keywords:
(extended) regular variation; extreme value theory; large deviations; renewal counting process; renewal risk model; subexponential distributions;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
11
Recensione:
Indirizzi per estratti:
Indirizzo: Tang, QH Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China Univ Sci & Technol China Hefei Peoples R China 230026 s R China
Citazione:
C. Su et al., "A contribution to large deviations for heavy-tailed random sums", SCI CHINA A, 44(4), 2001, pp. 438-444

Abstract

In this paper we consider the large deviations for random sums S(t) = Sigma X-N(t)(i=1)i, t greater than or equal to 0, where { X-n, n greater than or equal to 1} are independent, identically distributed and nan-negative random variables with a common heavy-tailed distribution function F, and {N(t), t greater than or equal to 0} is a process of non-negative integer-valuedrandom variables, independent of {X-n, n greater than or equal to 1}. Under the assumption that the tail of F is of Pareto's type (regularly or extended regularly varying), we investigate what reasonable condition can be given on {N(t), t greater than or equal to 0} under which precise large deviation for S(t) holds. In particular, the condition we obtain is satisfied forrenewal counting processes.

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Documento generato il 30/03/20 alle ore 19:53:26