Conditional distribution of heavy tailed random variables on large deviations of their sum

By In'es Armend'ariz, Michail Loulakis. 2009

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It is known that large deviations of sums of subexponential random variables are most likely realised by deviations of a single random variable. In this article we give a detailed picture of how subexponential random variables are distributed when a large deviation of the sum is observed.

Subfields: Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/e12f33b8a1cabec5725b9f2ef0ba3b50ee91cf38