Large deviations for heavy-tailed random sums in compound renewal model
In the present paper we investigate the precise large deviations for heavy-tailed random sums. First, we obtain a result which improves the relative result in Klüppelberg and Mikosch (J. Appl. Probab. 34 (1997) 293). Then we introduce a more realistic risk model than classical ones, named the compound renewal model, and establish the precise large deviations in this model.
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Volume (Year): 52 (2001)
Issue (Month): 1 (March)
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