Large deviations results for subexponential tails, with applications to insurance risk

Stochastic Processes and their Applications

Volumn 64, Issue 1, 1996, Pages 103-125

  Asmussen, Søren ^a   Klüppelberg, Claudia ^b  

^a LUND UNIVERSITY   (Sweden)

^b JOHANNES GUTENBERG UNIVERSITY   (Germany)

Author keywords

Conditioned limit theorem; Downwards skip free process; Excursion; Extreme value theory; Insurance risk; Integrated tail; Maximum domain of attraction; Path decomposition; Random walk; Regular variation; Ruin probability; Subexponential distribution

Indexed keywords

EID: 0030295610     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(96)00087-7     Document Type: Article

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