Subexponential Distributions - Large Deviations with Applications to Insurance and Queueing Models

Summary This paper presents a fine large‐deviations theory for heavy‐tailed distributions whose tails are heavier than exp(−√t and have finite second moment. Asymptotics for first passage times are derived. The results are applied to estimate the finite time ruin probabilities in insurance as well a...

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Veröffentlicht in:	Australian & New Zealand journal of statistics 2004-03, Vol.46 (1), p.145-154
Hauptverfasser:	Baltrūnas, Aleksandras, Klüppelberg, Claudia
Format:	Artikel
Sprache:	eng
Schlagworte:	Baxter-Spitzer identity busy period Economic theory finite time ruin probability first passage times Identity Insurance large deviations Probability queueing theory Statistical methods subexponential distributions transient random walk
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