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Indexed by:期刊论文

Date of Publication:2016-11-01

Journal:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Included Journals:SCIE、EI、Scopus

Volume:45

Issue:21

Page Number:6357-6368

ISSN No.:0361-0926

Key Words:Precise large deviations; Two-dimensional; Extended regular variation distributions; Copula; Random sums

Abstract:This article focuses on the tail probabilities of the partial sums (S) over right arrow (n) = Sigma(n)(k=1) (X) over right arrow (k) and the random sums (S) over right arrow (N(t)) = Sigma(N(t))(k=1) (X) over right arrow (k), where {(X) over right arrow (k), k >= 1} is a sequence of independent identically distributed non- negative random vectorswith two dependent components ( using copulas for operational risk measurement) having extended regularly varying tails, and N( t) is a counting process independent of the sequence {(X) over right arrow (k), k >= 1}. Under some reasonable assumptions, some precise large deviation results for (S) over right arrow (n) and (S) over right arrow (N(t)) are obtained in the componentwise way.