Author:
Ng Kai W.,Tang Qihe,Yan Jia-An,Yang Hailiang
Abstract
Let {Xk, k ≥ 1} be a sequence of independent, identically distributed nonnegative random variables with common distribution function F and finite expectation μ > 0. Under the assumption that the tail probability is consistently varying as x tends to infinity, this paper investigates precise large deviations for both the partial sums Sn and the random sums SN(t), where N(·) is a counting process independent of the sequence {Xk, k ≥ 1}. The obtained results improve some related classical ones. Applications to a risk model with negatively associated claim occurrences and to a risk model with a doubly stochastic arrival process (extended Cox process) are proposed.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
97 articles.
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