4 papers
Logarithmic Large Deviations for Heavy-Tailed Sums
José M. Zapata
We establish logarithmic large-deviation bounds for sums of independent nonnegative random variables with regularly varying tails. The normalization is chosen at the extreme-value…
Maxitive monetary risk measures: worst-case risk assessment and sharp large deviations
José Miguel Zapata
In decision making under uncertainty and risk, worst-case risk assessments are often conducted using maxitive monetary risk measures. In this article, we study maxitive monetary ri…
Stochastic dominance of sums of risks under dependence conditions
Jorge Navarro, José M. Zapata
We provide conditions for the stochastic dominance comparisons of a risk and an associated risk , where represents the uncertainty due to the environment and where …
On independence and large deviations for sublinear expectations
Pedro Terán, José M. Zapata
We prove by counterexample that a large deviation principle established by Chen and Feng [{\em Comm. Statist. Theory Methods} {\bf 45} (2016), 400--412] in the framework of subline…