ASYMPTOTIC BOUNDS FOR PRECISE LARGE DEVIATIONS IN A COMPOUND RISK MODEL UNDER DEPENDENCE STRUCTURES

被引：5

作者：

Gao, QingWu ^{[1
]}

Liu, Xijun ^{[2
]}

Chai, Chunhong ^{[2
]}

机构：

[1] Nanjing Audit Univ, Sch Stat & Math, Nanjing, Peoples R China

[2] Air Force Engn Univ, Aviat Maintenance NCO Acad, Xinyang, Peoples R China

来源：

JOURNAL OF MATHEMATICAL INEQUALITIES | 2020年 / 14卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Asymptotics; precise large deviation; compound riskmodel; dependence structure; STOCHASTIC PRESENT VALUE; TAILED RANDOM SUMS; RANDOM-VARIABLES; AGGREGATE CLAIMS; CONVERGENCE; INSURANCE;

D O I：

10.7153/jmi-2020-14-69

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In the paper, we consider a compound risk model, where all the claim sizes satisfy a dependence structure, and the accident inter-arrival time and the claim-number of the subsequent accident satisfy another dependence structure described by a conditional tail probability of the inter-arrival time given the subsequent claim-number. We obtain the asymptotic lower and upper bounds for the precise large deviations of the aggregate claims, with a feature that the asymptotic bounds hold uniformly for all x in an infinite t -interval.

引用

页码：1067 / 1082

页数：16

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