Subexponential distributions – large deviations with applications to insurance and queueing models

Subexponential distributions – large deviations with applications to insurance and queueing models

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Article ID: iaor20051569
Country: Australia
Volume: 46
Issue: 1
Start Page Number: 145
End Page Number: 154
Publication Date: Jan 2004
Journal: Australian and New Zealand Journal of Statistics
Authors: ,
Keywords: GI/G/1 queues, insurance
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.

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