Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions

被引：8
|
作者：
Stabile, Gabriele [1 ]
Torrisi, Giovanni Luca [2 ]
机构：
[1] Univ Rome Sapienza, Dipartimento Matemat Decis Econ Finanziarie & Ass, I-00161 Rome, Italy
[2] Univ Roma Tor Vergata, CNR, Dipartimento Matemat, Ist Applicaz Calcolo Mauro Picone, I-00133 Rome, Italy
来源：
STATISTICS & PROBABILITY LETTERS | 2010年 / 80卷 / 15-16期
关键词：
Heavy tail distributions; Large deviations; Poisson shot noise processes; Semi-exponential distributions; RISK PROCESSES; RUIN PROBABILITY;
D O I：
10.1016/j.spl.2010.03.017
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this note we provide a large deviation principle for Poisson shot noise processes under heavy tail semi-exponential conditions on the total shot per arrival. As in the light tail case. our result shows an insensitivity property of the model. (C) 2010 Elsevier B.V. All rights reserved.
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页码：1200 / 1209
页数：10
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