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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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In this paper, we consider a multi-risk model based on the policy entrance process with n independent policies. For each policy, the entrance process of the customer is a non-homogeneous Poisson process, and the claim process is a renewal process. The loss process of the single-risk model is a random sum of stochastic processes, and the actual individual claim sizes are described as extended upper negatively dependent (EUND) structure with heavy tails. We derive precise large deviations for the loss process of the multi-risk model after giving the precise large deviations of the single-risk model. Our results extend and improve the existing results in significant ways.
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참고문헌 (18)
참고문헌 신청
C. Kl¨uppelberg / 1997 / Large deviations of heavy-tailed random sums with applications in insurance and finance / J. Appl. Probab 34 (2) : 293 ~ 308
K. W. Ng / 2003 / Precise large deviations for the prospective-loss process / J. Appl. Probab 40 (2) : 391 ~ 400
K. W. Ng / 2004 / Precise large deviations for sums of random variables with consistently varying tails / J. Appl. Probab 41 (1) : 93 ~ 107
K. Y. Wang / 2012 / Precise large deviations for widely orthant depen-dent random variables with dominatedly varying tails / Front. Math. China 7 (5) : 919 ~ 932
L. Liu / 2009 / Precise large deviations for dependent random variables with heavy tails / Statist. Probab. Lett 79 (9) : 1290 ~ 1298
K. W. Ng / 2003 / Precise large deviations for the prospective-loss process / J. Appl. Probab 40 (2) : 391 ~ 400
K. W. Ng / 2004 / Precise large deviations for sums of random variables with consistently varying tails / J. Appl. Probab 41 (1) : 93 ~ 107
K. Y. Wang / 2012 / Precise large deviations for widely orthant depen-dent random variables with dominatedly varying tails / Front. Math. China 7 (5) : 919 ~ 932
L. Liu / 2009 / Precise large deviations for dependent random variables with heavy tails / Statist. Probab. Lett 79 (9) : 1290 ~ 1298
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