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Large Deviations for Sums of Heavy-tailed Random Variables
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作者 郭晓燕 孔繁超 《Chinese Quarterly Journal of Mathematics》 CSCD 北大核心 2007年第2期282-289,共8页
This paper is a further investigation of large deviations for sums of random variables Sn=i=1∑n Xi and S(t)=i=1∑N(t)Xi,(t≥0), where {X_n,n≥1) are independent identically distribution and non-negative random... This paper is a further investigation of large deviations for sums of random variables Sn=i=1∑n Xi and S(t)=i=1∑N(t)Xi,(t≥0), where {X_n,n≥1) are independent identically distribution and non-negative random variables, and {N(t),t≥0} is a counting process of non-negative integer-valued random variables, independent of {X_n,n≥1}. In this paper, under the suppose F∈G, which is a bigger heavy-tailed class than C, proved large deviation results for sums of random variables. 展开更多
关键词 large deviation heavy-tailed distribution strongly subexponential distribution lognormal distribution
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Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities 被引量:2
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作者 JIANG Tao School of Finance,Zhejiang Gongshang University,Hangzhou 310018,China 《Science China Mathematics》 SCIE 2008年第7期1257-1265,共9页
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.T... 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. 展开更多
关键词 large-deviation probability strongly subexponential distribution finite-time ruin probability the compound Poisson model uniform asymptotics 91B30 60G70 62P05
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