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It is known that large deviations of sums of subexponential random variables are most likely realised by deviations of a single random variable. In this article we give a detailed picture of how subexponential random variables are…

Probability · Mathematics 2013-06-25 Inés Armendáriz , Michail Loulakis

We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…

Probability · Mathematics 2018-02-05 Ulrich K. Mueller

In this note we prove bounds on the upper and lower probability tails of sums of independent geometric or exponentially distributed random variables. We also prove negative results showing that our established tail bounds are asymptotically…

Statistics Theory · Mathematics 2019-02-11 Yaonan Jin , Yingkai Li , Yining Wang , Yuan Zhou

We give explicit bounds for the tail probabilities for sums of independent geometric or exponential variables, possibly with different parameters.

Probability · Mathematics 2017-09-26 Svante Janson

We obtain concentration and large deviation for the sums of independent and identically distributed random variables with heavy-tailed distributions. Our concentration results are concerned with random variables whose distributions satisfy…

Probability · Mathematics 2022-07-27 Milad Bakhshizadeh , Arian Maleki , Victor H. de la Pena

This paper considers how to measure the magnitude of the sum of independent random variables in several ways. We give a formula for the tail distribution for sequences that satisfy the so called Levy property. We then give a connection…

Probability · Mathematics 2007-05-23 Pawel Hitczenko , Stephen Montgomery-Smith

We prove that the tail probabilities of sums of independent uniform random variables, up to a multiplicative constant, are dominated by the Gaussian tail with matching variance and find the sharp constant for such stochastic domination.

Probability · Mathematics 2026-03-05 Xinjie He , Tomasz Tkocz , Katarzyna Wyczesany

This paper studies the tail probability of weighted sums of the form $\sum_{i=1}^n c_i X_i$, where random variables $X_i$'s are either independent or pairwise quasi-asymptotical independent with heavy tails. Using $h$-insensitive function,…

Probability · Mathematics 2014-04-01 Chenhua Zhang

We obtain some optimal inequalities on tail probabilities for sums of independent bounded random variables. Our main result completes an upper bound on tail probabilities due to Talagrand by giving a one-term asymptotic expansion for large…

Probability · Mathematics 2017-08-03 Xiequan Fan , Ion Grama , Quansheng Liu

We investigate asymptotic behaviour of probabilities of large deviations for normalized combinatorial sums. We find a zone in which these probabilities are equivalent to the tail of the standard normal law. Our conditions are similar to the…

Probability · Mathematics 2019-01-15 Andrei N. Frolov

The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…

Probability · Mathematics 2008-12-10 Christian Y. Robert , Johan Segers

We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…

We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…

Probability · Mathematics 2007-12-05 Boualem Djehiche , Jens Svensson

We revisit the problem of condensation for independent, identically distributed random variables with a power-law tail, conditioned by the value of their sum. For large values of the sum, and for a large number of summands, a condensation…

Statistical Mechanics · Physics 2022-03-03 Claude Godrèche

We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each…

Risk Management · Quantitative Finance 2024-11-15 Fan Yang , Yi Zhang

In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…

Probability · Mathematics 2025-05-27 Dimitrios G. Konstantinides , Charalampos D. Passalidis

We study the asymptotic probability that a random walk with heavy-tailed increments crosses a high boundary on a random time interval. We use new techniques to extend results of Asmussen [Ann. Appl. Probab. 8 (1998) 354-374] to completely…

Probability · Mathematics 2017-11-29 Sergey Foss , Zbigniew Palmowski , Stan Zachary

This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating threshold, as both - the number of summands and…

Probability · Mathematics 2017-03-21 Arijit Chakrabarty

The big jump principle is a well established mathematical result for sums of independent and identically distributed random variables extracted from a fat tailed distribution. It states that the tail of the distribution of the sum is the…

Statistical Mechanics · Physics 2019-07-10 Alessandro Vezzani , Eli Barkai , Raffaella Burioni

We present a formalization of the well-known thesis that, in the case of independent identically distributed random variables $X_1,\dots,X_n$ with power-like tails of index $\alpha\in(0,2)$, large deviations of the sum $X_1+\dots+X_n$ are…

Probability · Mathematics 2021-10-29 Iosif Pinelis
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