Large deviations of heavy-tailed random sums with applications in insurance and finance

Journal of Applied Probability

Volumn 34, Issue 2, 1997, Pages 293-308

  Kluppelberg C ^a   Mikosch, T ^b  

^a JOHANNES GUTENBERG UNIVERSITY   (Germany)

^b UNIVERSITY OF GRONINGEN   (Netherlands)

Author keywords

Compound poisson process; Extreme value theory; Financial risk; Futures; High density data; Insurance risk; Large deviations; Regular variation; Reinsurance; Renewal counting process; Subexponential distributions

Indexed keywords

FINANCE; INSURANCE; RANDOM PROCESSES; RISKS; STATISTICAL METHODS; STATISTICS;

COMPOUND POISSON PROCESS; EXTREME VALUE THEORY; FINANCIAL RISKS; FUTURES; HIGH DENSITY DATA; INSURANCE RISK; LARGE DEVIATIONS; REGULAR VARIATION; REINSURANCE; RENEWAL COUNTING PROCESS;

PROBABILITY;

EID: 0031342881     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200100956     Document Type: Article

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