Precise large deviations for sums of random variables with consistently varying tails

CSpace > 应用数学研究所

	Precise large deviations for sums of random variables with consistently varying tails
	Ng, KW ; Tang, QH ; Yan, JA; Yang, HL
	2004-03-01
发表期刊	JOURNAL OF APPLIED PROBABILITY
ISSN	0021-9002
卷号	41 期号:1 页码:93-107
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.
关键词	consistently varying tail doubly stochastic process heavy tail Matuszewska index negative association precise large deviations random sums
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000220186000007
出版者	APPLIED PROBABILITY TRUST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/19682
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.