Precise large deviations for generalized dependent compound renewal risk model with consistent variation

作     者：Yu CHEN Weiping ZHANG Chun SU 

作者机构：Department of Statistics and Finance School of Management University of Science and Technology of China Hefei 230026 China 

出 版 物：《Frontiers of Mathematics in China》 (中国高等学校学术文摘·数学（英文）)

年 卷 期：2014年第9卷第1期

页      面：31-44页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 083001[工学-环境科学] 0830[工学-环境科学与工程（可授工学、理学、农学学位）] 07[理学] 08[工学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：Acknowledgements This work was supported in part by the National Natural Science Foundation of China (Grant Nos. 11171321  11271347) and the Fundamental Research Funds for the Central Universities 

主　　题：Negative dependence precise large deviation random sum consistently varying tail 

摘      要：We investigate the precise large deviations of random sums of negatively dependent random variables with consistently varying tails. We find out the asymptotic behavior of precise large deviations of random sums is insensitive to the negative dependence. We also consider the generalized dependent compound renewal risk model with consistent variation, which including premium process and claim process, and obtain the asymptotic behavior of the tail probabilities of the claim surplus process.