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Precise large deviation results for the total claim amount under subexponential claim sizes. (English) Zbl 1145.60018

Summary: The paper deals with the renewal risk model. A precise large deviation result in the case of subexponential claim sizes is proved. As a special case, the example of Pareto distributed claim sizes and inter-occurrence times is investigated.

MSC:

60F10 Large deviations
91B30 Risk theory, insurance (MSC2010)
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References:

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