Precise large deviations for random sums of END random variables with dominated variation (Q469894): Difference between revisions
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Summary: We investigate the precise large deviations for random sums of extended negatively dependent random variables with long and dominatedly varying tails. We find out that the asymptotic behavior of precise large deviations of random sums is insensitive to the extended negative dependence. We apply the results to a generalized dependent compound renewal risk model including premium process and claim process and obtain the asymptotic behavior of the tail probabilities of the claim surplus process. | |||
| Property / review text: Summary: We investigate the precise large deviations for random sums of extended negatively dependent random variables with long and dominatedly varying tails. We find out that the asymptotic behavior of precise large deviations of random sums is insensitive to the extended negative dependence. We apply the results to a generalized dependent compound renewal risk model including premium process and claim process and obtain the asymptotic behavior of the tail probabilities of the claim surplus process. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60F10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6368333 / rank | |||
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Revision as of 16:20, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
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| English | Precise large deviations for random sums of END random variables with dominated variation |
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Precise large deviations for random sums of END random variables with dominated variation (English)
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11 November 2014
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Summary: We investigate the precise large deviations for random sums of extended negatively dependent random variables with long and dominatedly varying tails. We find out that the asymptotic behavior of precise large deviations of random sums is insensitive to the extended negative dependence. We apply the results to a generalized dependent compound renewal risk model including premium process and claim process and obtain the asymptotic behavior of the tail probabilities of the claim surplus process.
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