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Indexed by:Journal Papers

Date of Publication:2016-01-17

Journal:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Included Journals:SCIE、EI

Volume:45

Issue:2

Page Number:291-306

ISSN No.:0361-0926

Key Words:Consistently varying tailed distributions; Difference of two sums of heavy-tailed random variables; Heavy-tailed; Precise large deviations

Abstract:Assume that there are two types of insurance contracts in an insurance company. The ith related claims are denoted by {X-ij, j >= 1}, i = 1, 2. In this paper, we investigate large deviations for the difference Sigma(n1(t))(j=1) X-1j - Sigma(n2(t))(j = 1) X-2j and random difference Sigma X-N1(t)(j = 1)1j - Sigma(N2(t))(j = 1) X-2j, where n(i)(t) are positive integer functions as t -> infinity, n(i)(t) ->infinity, i = 1, 2. N-i(t), i = 1, 2 are counting processes for the claim number.