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 16:27 |
| Last Modified: | 18 Jan 2018 17:29 |
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