In
probability theory, the theory of
large deviations concerns the asymptotic behaviour of remote tails of sequences of probability distributions. While some basic ideas of the theory can be traced to
Laplace, the formalization started with insurance mathematics, namely
ruin theory with
Cramér and
Lundberg. A unified formalization of large deviation theory was developed in 1966, in a paper by
Varadhan. Large deviations theory formalizes the heuristic ideas of
concentration of measures and widely generalizes the notion of convergence of probability measures.