一类带有广义负上限相依索赔额的风险过程大偏差

J4 ›› 2013, Vol. 48 ›› Issue (1): 100-106.

一类带有广义负上限相依索赔额的风险过程大偏差

唐风琴1,白建明2

1.淮北师范大学数学科学学院, 安徽淮北 235000; 2.兰州大学管理学院，甘肃兰州 730000

收稿日期:2012-03-09 出版日期:2013-01-20 发布日期:2013-01-15
作者简介:唐风琴(1983- )，女，讲师，硕士研究生，研究方向为概率论极限理论.Email: tfq05@163.com
基金资助:
国家自然科学基金资助项目(71171103);淮北师范大学2012年度校青年科研项目(2012XQ46)

The precise large deviations for a risk model with extended negatively upper orthant dependent claim sizes

TANG Feng-qin1, BAI Jian-ming2

1. School of Mathematics Sciences, Huaibei Normal University, Huaibei 235000, Anhui, China;
2. School of Management, Lanzhou University, Lanzhou 730000, Gansu, China

Received:2012-03-09 Online:2013-01-20 Published:2013-01-15

摘要/Abstract

摘要：

构造了一类具有多类独立保单的风险模型。对每类保单,在索赔额为广义负上限相依(extended negatively upper orthant dependent,ENUOD)且服从重尾分布的假设下,分别得到了该模型损失过程的部分和及随机和的大偏差结果。

关键词: 大偏差; 风险过程; C族; 广义负上限相依

Abstract:

A risk model involves multiple kinds of independent policies was proposed. For each kind of the policy, the claim sizes are supposed as extended negatively upper orthant dependent random variables with heavytailed distributions. The large deviations for partial sums and the random sums were respectively obtained in the loss process of the model.

Key words: large deviations; risk process; consistently varying; ENUOD

唐风琴1,白建明2. 一类带有广义负上限相依索赔额的风险过程大偏差[J]. J4, 2013, 48(1): 100-106.

TANG Feng-qin1, BAI Jian-ming2. The precise large deviations for a risk model with extended negatively upper orthant dependent claim sizes[J]. J4, 2013, 48(1): 100-106.

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