Precise local large deviations for random sums with applications
classification
🧮 math.PR
keywords
largelocalpreciserandomcasedeviationprobabilitiesprocess
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In this paper, we investigate the precise local large deviation probabilities for random sums of independent real-valued random variables with a common distribution $F$, where $F(x+\Delta)=F((x, x+T])$ is an $\mathcal{O}$-regularly varying function for some fixed constant $T>0$(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 $t$ 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 $T=\infty$.
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