Large deviations of heavy-tailed random sums with applications in insurance and finance

Aase K. (1994) An equilibrium model of catastrophic insurance futures contracts. Preprint.

Meister, 1995, Diplomarbeit.

Albrecht, 1994, Mannheimer Manuskripte zur Versicherungsbetriebslehre, Finanzmanagement und Risikotheorie.

10.1137/1114006

10.1016/0167-6687(82)90021-X

Heyde, 1968, On large deviation probabilities in the case of attraction to a nonnormal stable law, Sankhya, 30, 253

Pinelis, 1985, Limit Theorems in Probability Theory. (Trudy Inst. Math. 5.)

10.1017/CBO9780511721434

Cummins, 1994, An Asian option approach to the valuation of insurance futures contracts, Rev. Futures Markets, 13, 517

10.1007/978-1-4757-1992-5

10.1007/BF00535016

10.1007/BF00535504

10.1007/978-3-642-33483-2

10.1007/978-3-642-65809-9

10.1214/aoms/1177698712

Chicago Board Of Trade (Cbot) (1992) Homeowners futures and hedging insurance price risk.

Nagaev, 1973, Trans. Sixth Prague Conf. on Information Theory, Random Processes and Statistical Decision Functions., 657

10.1007/978-3-642-65371-1

Cline, 1991, Large deviation probabilities for sums and maxima of random variables with heavy or subexponential tails

10.1017/S0021900200048361

10.1137/1109088

10.1214/aop/1176994938

Nagaev, 1969b, Limit theorems for large deviations when Cramér's conditions are violated, Fiz-Mat. Nauk., 7, 17