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个人信息Personal Information
副教授
硕士生导师
性别：女
毕业院校：浙江大学
学位：博士
所在单位：数学科学学院
学科：概率论与数理统计. 金融数学与保险精算
办公地点：数学楼607
联系方式：xshen@dlut.edu.cn
电子邮箱：xshen@dlut.edu.cn
论文成果
当前位置: xinmeishen >> 科学研究 >> 论文成果Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
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论文类型：期刊论文
发表时间：2018-12-01
发表刊物：APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B
收录刊物：SCIE、Scopus
卷号：33
期号：4
页面范围：491-502
ISSN号：1005-1031
关键字：Precise large deviation; Size-dependent; Consistent variation; Multidimensional risk model; Renewal counting process
摘要：Consider a multidimensional renewal risk model, in which the claim sizes {X-k, k 1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained.