Abstract
This paper presents a fine large-deviations theory for heavy-tailed distributions whose tails are heavier than exp(-√t) and have finite second moment. Asymptotics for first passage times are derived. The results are applied to estimate the finite time ruin probabilities in insurance as well as the busy period in a GI/G/1 queueing model.
| Original language | English |
|---|---|
| Pages (from-to) | 145-154 |
| Number of pages | 10 |
| Journal | Australian and New Zealand Journal of Statistics |
| Volume | 46 |
| Issue number | 1 |
| DOIs | |
| State | Published - Mar 2004 |
Keywords
- Baxter-Spitzer identity
- Busy period
- Finite time ruin probability
- First passage times
- Insurance
- Large deviations
- Queueing theory
- Subexponential distributions
- Transient random walk
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