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Article: Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation

TitlePrecise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation
Authors
KeywordsConsistent variation
Counting process
Lower/upper extended negative dependence
Precise large deviation
Uniformity
Issue Date2011
PublisherSpringer 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?
AbstractThe 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 Identifierhttp://hdl.handle.net/10722/149147
ISSN
2015 Impact Factor: 0.782
2015 SCImago Journal Rankings: 0.502
ISI Accession Number ID
Funding AgencyGrant Number
National Natural Science Foundation of China70871104
Zhejiang Provincial Natural Science Foundation of ChinaY6100708
University of Hong Kong
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 FieldValueLanguage
dc.contributor.authorChen, Yen_HK
dc.contributor.authorYuen, KCen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2012-06-22T06:26:47Z-
dc.date.available2012-06-22T06:26:47Z-
dc.date.issued2011en_HK
dc.identifier.citationMethodology And Computing In Applied Probability, 2011, v. 13 n. 4, p. 821-833en_HK
dc.identifier.issn1387-5841en_HK
dc.identifier.urihttp://hdl.handle.net/10722/149147-
dc.description.abstractThe 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.languageengen_US
dc.publisherSpringer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841en_HK
dc.relation.ispartofMethodology and Computing in Applied Probabilityen_HK
dc.subjectConsistent variationen_HK
dc.subjectCounting processen_HK
dc.subjectLower/upper extended negative dependenceen_HK
dc.subjectPrecise large deviationen_HK
dc.subjectUniformityen_HK
dc.titlePrecise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variationen_HK
dc.typeArticleen_HK
dc.identifier.emailYuen, KC: kcyuen@hku.hken_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityYuen, KC=rp00836en_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s11009-010-9194-7en_HK
dc.identifier.scopuseid_2-s2.0-80255135624en_HK
dc.identifier.hkuros200371en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-80255135624&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume13en_HK
dc.identifier.issue4en_HK
dc.identifier.spage821en_HK
dc.identifier.epage833en_HK
dc.identifier.isiWOS:000299151700009-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridChen, Y=42261457500en_HK
dc.identifier.scopusauthoridYuen, KC=7202333703en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.citeulike7860331-

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