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Titolo: A contribution to large deviations for heavytailed 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 AMATHEMATICS PHYSICS ASTRONOMY
fascicolo: 4,
volume: 44,
anno: 2001,
pagine: 438  444
 SICI:
 10016511(200104)44:4<438:ACTLDF>2.0.ZU;2W
 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 heavytailed random sums", SCI CHINA A, 44(4), 2001, pp. 438444
Abstract
In this paper we consider the large deviations for random sums S(t) = Sigma XN(t)(i=1)i, t greater than or equal to 0, where { Xn, n greater than or equal to 1} are independent, identically distributed and nannegative random variables with a common heavytailed distribution function F, and {N(t), t greater than or equal to 0} is a process of nonnegative integervaluedrandom variables, independent of {Xn, 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.
ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 30/03/20 alle ore 19:53:26