Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities

被引：0

作者：

JIANG Tao School of Finance

机构：

来源：

Science China Mathematics | 2008年 / 07期

基金：

中国国家自然科学基金;

关键词：

large-deviation probability; strongly subexponential distribution; finite-time ruin probability; the compound Poisson model; uniform asymptotics;

D O I：

暂无

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

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.

引用

页码：1257 / 1265

页数：9

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