English

Precise local large deviations for random sums with applications

Probability 2016-07-05 v3

Abstract

In this paper, we investigate the precise local large deviation probabilities for random sums of independent real-valued random variables with a common distribution FF, where F(x+Δ)=F((x,x+T])F(x+\Delta)=F((x, x+T]) is an O\mathcal{O}-regularly varying function for some fixed constant T>0T>0(finite or infinite). We also obtain some results on precise local large deviation probabilities for the claim surplus process of generalized risk models in which the premium income until time tt is simply assumed to be a nondecreasing and nonnegative stochastic process. In particular, the results we obtained are also valid for the global case, i.e. case T=T=\infty.

Keywords

Cite

@article{arxiv.1507.04150,
  title  = {Precise local large deviations for random sums with applications},
  author = {Qiuying Zhang and Fengyang Cheng},
  journal= {arXiv preprint arXiv:1507.04150},
  year   = {2016}
}

Comments

16pages

R2 v1 2026-06-22T10:12:13.541Z