负相协D族广义Sparre-Andevsen模型下的大偏差及其应用(英文)  

Large Deviations for Generalized Sparre-Andersen Models with NA Dominatedly Varying Tails and its Applications

作　　者：杨洋[1] 王岳宝[2] 

机构地区：[1]南京审计学院应用数学系,南京210029 [2]苏州大学数学科学学院,苏州215006

出　　处：《应用数学》2008年第2期219-224,共6页Mathematica Applicata

基　　金：National Natural Science Foundation of China (10671139);Science Foun-dation of Jiangsu Province (06KJD110092)

摘　　要：本文将经典的Sparre-Andevsen风险模型推广到保费收入过程不再是线性过程的一般风险过程,得到了一些关于负相协D族随机变量随机和的大偏差结果,以及破产概率的弱等价性.We extend the classical Sparre-Andersen risk model to a general case where the premium income process is no longer a linear function,and obtain some corresponding results on large deviations for random sums of negatively associated random variables with common dominatedly varying tails, As an application,we derive the weak equivalence of the probability of the time of ruin.

关 键 词：负相协 控制分布族 破产 大偏差 

分 类 号：O211.4[理学—概率论与数理统计]