Large Deviations of Heavy-Tailed Sums with Applications in Insurance

被引:128
|
作者
T. Mikosch
A.V. Nagaev
机构
[1] University of Groningen,Department of Mathematics
[2] Copernicus University,Faculty of Mathematics, and Informatics
[3] ul,undefined
关键词
large deviation; heavy tails; shot noise; total claim amount; Cramér–Lundberg model; reinsurance; ruin probability;
D O I
10.1023/A:1009913901219
中图分类号
学科分类号
摘要
First we give a short review of large deviation results for sums of i.i.d. random variables. The main emphasis is on heavy-tailed distributions. We stress more the methodology than the detailed calculations. Large deviation techniques are then applied to randomly indexed sums and shot noise processes. We also indicate the close relationship between large deviation results and the modeling of large insurance claims.
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页码:81 / 110
页数:29
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