复合更新风险模型中负相依索赔额下的精细大偏差

Precise Large Deviations for Compound Renewal Risk Model with Negative Dependence Claims

  • 摘要: 本文考虑了在复合更新风险模型当中, 负相依索赔额情形下与之相关的精细大偏差的若干问题. 文中假设是一列负相依的随机变量, 其对应分布列为, 并假定的右尾分布等同于某个具有一致变化尾的分布. 根据所得的结果试图建立与经典大偏差相似的结论, 并将其应用到改进后的复合更新风险模型当中.

     

    Abstract: In this paper, we investigate the precise large deviations for a sum of claims in compound renewal risk model with negative dependence structure, in which we assume that is a sequence of negative dependence rv's with distribution functions and the average of right tails of distribution functions is equivalent to some distribution function with consistently varying tails. We try to build a platform for the classical large deviation theory and for the compound renewal risk model.

     

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