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Article: Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation
Title | Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation | ||||||||
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Authors | |||||||||
Keywords | Consistent variation Counting process Lower/upper extended negative dependence Precise large deviation Uniformity | ||||||||
Issue Date | 2011 | ||||||||
Publisher | Springer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841 | ||||||||
Citation | Methodology And Computing In Applied Probability, 2011, v. 13 n. 4, p. 821-833 How to Cite? | ||||||||
Abstract | The study of precise large deviations for random sums is an important topic in insurance and finance. In this paper, we extend recent results of Tang (Electron J Probab 11(4):107-120, 2006) and Liu (Stat Probab Lett 79(9):1290-1298, 2009) to random sums in various situations. In particular, we establish a precise large deviation result for a nonstandard renewal risk model in which innovations, modelled as real-valued random variables, are negatively dependent with common consistently-varying-tailed distribution, and their inter-arrival times are also negatively dependent. © 2010 Springer Science+Business Media, LLC. | ||||||||
Persistent Identifier | http://hdl.handle.net/10722/149147 | ||||||||
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.430 | ||||||||
ISI Accession Number ID |
Funding Information: The authors would like to thank the two anonymous referees for their careful reading and helpful comments. Yiqing Chen acknowledges partial support from the National Natural Science Foundation of China (No. 70871104) and Zhejiang Provincial Natural Science Foundation of China (Y6100708), Kam C. Yuen acknowledges support from a university research grant of the University of Hong Kong. | ||||||||
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chen, Y | en_HK |
dc.contributor.author | Yuen, KC | en_HK |
dc.contributor.author | Ng, KW | en_HK |
dc.date.accessioned | 2012-06-22T06:26:47Z | - |
dc.date.available | 2012-06-22T06:26:47Z | - |
dc.date.issued | 2011 | en_HK |
dc.identifier.citation | Methodology And Computing In Applied Probability, 2011, v. 13 n. 4, p. 821-833 | en_HK |
dc.identifier.issn | 1387-5841 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/149147 | - |
dc.description.abstract | The study of precise large deviations for random sums is an important topic in insurance and finance. In this paper, we extend recent results of Tang (Electron J Probab 11(4):107-120, 2006) and Liu (Stat Probab Lett 79(9):1290-1298, 2009) to random sums in various situations. In particular, we establish a precise large deviation result for a nonstandard renewal risk model in which innovations, modelled as real-valued random variables, are negatively dependent with common consistently-varying-tailed distribution, and their inter-arrival times are also negatively dependent. © 2010 Springer Science+Business Media, LLC. | en_HK |
dc.language | eng | en_US |
dc.publisher | Springer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841 | en_HK |
dc.relation.ispartof | Methodology and Computing in Applied Probability | en_HK |
dc.subject | Consistent variation | en_HK |
dc.subject | Counting process | en_HK |
dc.subject | Lower/upper extended negative dependence | en_HK |
dc.subject | Precise large deviation | en_HK |
dc.subject | Uniformity | en_HK |
dc.title | Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_HK |
dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | en_HK |
dc.identifier.authority | Yuen, KC=rp00836 | en_HK |
dc.identifier.authority | Ng, KW=rp00765 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s11009-010-9194-7 | en_HK |
dc.identifier.scopus | eid_2-s2.0-80255135624 | en_HK |
dc.identifier.hkuros | 200371 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-80255135624&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 13 | en_HK |
dc.identifier.issue | 4 | en_HK |
dc.identifier.spage | 821 | en_HK |
dc.identifier.epage | 833 | en_HK |
dc.identifier.isi | WOS:000299151700009 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Chen, Y=42261457500 | en_HK |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_HK |
dc.identifier.scopusauthorid | Ng, KW=7403178774 | en_HK |
dc.identifier.citeulike | 7860331 | - |
dc.identifier.issnl | 1387-5841 | - |