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faculty: "FEB" and publication year: "2004"
| Authors | K.W. Ng, Q. Tang, J. Yan, H. Yang | | Title | Precise large deviations for sums of random variables with consistently varying tails |
| Journal | Journal of Applied Probability |
| Volume | 41 |
| Year | 2004 |
| Issue | 1 |
| Pages | 93-107 |
| ISSN | 00219002 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | Let {Xk, k ? 1} be a sequence of independent, identically distributed nonnegative random variables with common distribution function F and finite expectation ? > 0. Under the assumption that the tail probability F?(x) = 1 - F(x) is consistently varying as x tends to infinity, this paper investigates precise large deviations for both the partial sums Sn and the random sums SN(t), where N(?) is a counting process independent of the sequence {Xk, k ? 1}. The obtained results improve some related classical ones. Applications to a risk model with negatively associated claim occurrences and to a risk model with a doubly stochastic arrival process (extended Cox process) are proposed. |
| Document type | Article |
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