Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities  

作　　者：JIANG Tao School of Finance,Zhejiang Gongshang University,Hangzhou 310018,China 

出　　处：《Science China Mathematics》2008年第7期1257-1265,共9页中国科学：数学（英文版）

基　　金：supported by the National Natural Science Foundation of China (Grant No. 70471071)

摘　　要：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.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.

关 键 词：large-deviation probability strongly subexponential distribution finite-time ruin probability the compound Poisson model uniform asymptotics 91B30 60G70 62P05 

分 类 号：F224[经济管理—国民经济]