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Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
作者单位:JIANG Tao School of Finance,Zhejiang Gongshang University,Hangzhou 310018,China
摘    要:We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of i.i.d.standard uniform random variables.This extends a corresponding result of Korshunov.As an application,we generalize a result of Tang,the uniform asymptotic estimate for the finite-time ruin probability,to the whole strongly subexponential class.


Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
Authors:Tao Jiang
Institution:(1) School of Finance, Zhejiang Gongshang University, Hangzhou, 310018, China
Abstract:We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of i.i.d.standard uniform random variables.This extends a corresponding result of Korshunov.As an application,we generalize a result of Tang,the uniform asymptotic estimate for the finite-time ruin probability,to the whole strongly subexponential class.
Keywords:large-deviation probability  strongly subexponential distribution  finite-time ruin probability  the compound Poisson model  uniform asymptotics
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