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; Stoploss order. 
ID Code:  6662 
Deposited By:  DIANE MICHAUD 
Deposited On:  02 Jun 2010 16:27 
Last Modified:  08 Dec 2010 23:24 
References:  Bingham, N. H.; Goldie, C. M.; Teugels, J. L. Regular Variation. Cambridge University Press, Cambridge, 1987.
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