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Introducing a Dependence Structure to the Occurences in Studying Precise Large Deviations for the Total Claim Amount

Title:

Introducing a Dependence Structure to the Occurences in Studying Precise Large Deviations for the Total Claim Amount

Kaas, Rob and Tang, Qihe (2004) Introducing a Dependence Structure to the Occurences in Studying Precise Large Deviations for the Total Claim Amount. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Abstract

In this paper we study precise large deviations for a compound sum of claims, in which the claims arrive in groups and the claim numbers in the groups may follow a
certain negative dependence structure. We try to build a platform both for the classical large deviation theory and for the modern stochastic ordering theory.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Monograph (Technical Report)
Authors:Kaas, Rob and Tang, Qihe
Series Name:Department of Mathematics & Statistics. Technical Report No. 13/04
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:12 December 2004
Keywords:Consistent variation; Matuszewska index; Negative cumulative dependence; Precise large deviations; Random sums; Stop-loss order.
ID Code:6662
Deposited By:DIANE MICHAUD
Deposited On:02 Jun 2010 12:27
Last Modified:08 Dec 2010 18:24
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