Precise large deviation results for the total claim amount under subexponential claim sizes

The paper deals with the renewal risk model. A precise large deviation result in the case of subexponential claim sizes is proved. As a special case, the example of Pareto distributed claim sizes and inter-occurrence times is investigated.

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Year of publication:	2008
Authors:	Baltrunas, Aleksandras ; Leipus, Remigijus ; Siaulys, Jonas
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 10, p. 1206-1214
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211872