| Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities |
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| 作者单位： | JIANG Tao School of Finance，Zhejiang Gongshang University，Hangzhou 310018，China |
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| 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.
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Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities |
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| Authors: | Tao Jiang |
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| Institution: | (1) School of Finance, Zhejiang Gongshang University, Hangzhou, 310018, China |
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| 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. |
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| Keywords: | large-deviation probability strongly subexponential distribution finite-time ruin probability the compound Poisson model uniform asymptotics |
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