Precise large deviations for sums of random variables with consistently varying tails
文献类型：期刊论文
| 作者 | Ng, KW; Tang, QH; Yan, JA ; Yang, HL
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| 刊名 | JOURNAL OF APPLIED PROBABILITY
 |
| 出版日期 | 2004-03-01 |
| 卷号 | 41期号:1页码:93-107 |
| 关键词 | consistently varying tail doubly stochastic process heavy tail Matuszewska index negative association precise large deviations random sums |
| ISSN号 | 0021-9002 |
| 英文摘要 | Let {X-k, k greater than or equal to 1} be a sequence of independent, identically distributed nonnegative random variables with common distribution function F and finite expectation mu > 0. Under the assumption that the tail probability (F) over bar (x) = 1 - F(x) is consistently varying as x tends to infinity, this paper investigates precise large deviations for both the partial sums S, and the random sums S-N(t), where N((.)) is a counting process independent of the sequence {X-k, k greater than or equal to 1}. The obtained results improve some related classical ones. Applications to a risk model with negatively associated claim occurrences and to a risk model with a doubly stochastic arrival process (extended Cox process) are proposed. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000220186000007 |
| 出版者 | APPLIED PROBABILITY TRUST |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/19681]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Ng, KW |
| 作者单位 | 1.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 2.Univ Amsterdam, Dept Quantitat Econ, NL-1018 WB Amsterdam, Netherlands 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Ng, KW,Tang, QH,Yan, JA,et al. Precise large deviations for sums of random variables with consistently varying tails[J]. JOURNAL OF APPLIED PROBABILITY,2004,41(1):93-107. |
| APA | Ng, KW,Tang, QH,Yan, JA,&Yang, HL.(2004).Precise large deviations for sums of random variables with consistently varying tails.JOURNAL OF APPLIED PROBABILITY,41(1),93-107. |
| MLA | Ng, KW,et al."Precise large deviations for sums of random variables with consistently varying tails".JOURNAL OF APPLIED PROBABILITY 41.1(2004):93-107. |
入库方式： OAI收割
来源：数学与系统科学研究院
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