复合更新风险模型中负相依索赔额下的精细大偏差（英文）  

Precise Large Deviations for Compound Renewal Risk Model with Negative Dependence Claims

作　　者：宋立新[1] 冯敬海[1] 袁亮亮[1] 

机构地区：[1]大连理工大学数学科学学院,大连116024

出　　处：《应用概率统计》2015年第2期168-182,共15页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the National Natural Sciences Foundation of China(11101061,11371077 and 61175041)

摘　　要：本文考虑了在复合更新风险模型当中,负相依索赔额情形下与之相关的精细大偏差的若干问题.文中假设{X_n,n≥1}是一列负相依的随机变量,其对应分布列为{F_n,n≥1},并假定F_n的右尾分布等同于某个具有一致变化尾的分布.根据所得的结果试图建立与经典大偏差相似的结论,并将其应用到改进后的复合更新风险模型当中.In this paper, we investigate the precise large deviations for a sum of claims in compound renewal risk model with negative dependence structure, in which we assume that （Xn, n ≥ 1） is a sequence of negative dependence rv＇s with distribution functions {Fn, n ≥1} and the average of right tails Of distribution functions Fn is equivalent to some distribution function F with consistently varying tails. We try to build a platform for the classical large deviation theory and for the compound renewal risk model.

关 键 词：精细大偏差 负相依 随机和 一致变化的尾部 复合更新风险模型 

分 类 号：O211.4[理学—概率论与数理统计]