Article ID Journal Published Year Pages File Type
1153481 Statistics & Probability Letters 2008 9 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Precise large deviation results for the total claim amount under subexponential claim sizes
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