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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 two-dimensional random vectors with dependent components of heavy tails
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论文类型：期刊论文
发表时间：2016-11-01
发表刊物：COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
收录刊物：SCIE、EI、Scopus
卷号：45
期号：21
页面范围：6357-6368
ISSN号：0361-0926
关键字：Precise large deviations; Two-dimensional; Extended regular variation distributions; Copula; Random sums
摘要：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.