| 负相协D族广义Sparre-Andevsen模型下的大偏差及其应用 |
| |
| 引用本文： | 杨洋,王岳宝.负相协D族广义Sparre-Andevsen模型下的大偏差及其应用[J].应用数学,2008,21(2):219-224. |
| |
| 作者姓名： | 杨洋 王岳宝 |
| |
| 作者单位： | 1. 南京审计学院应用数学系,南京,210029;苏州大学数学科学学院,苏州,215006
2. 苏州大学数学科学学院,苏州,215006 |
| |
| 基金项目： | 国家自然科学基金
,
江苏省科技创新基金 |
| |
| 摘 要： | 本文将经典的Sparre-Andevsen风险模型推广到保费收入过程不再是线性过程的一般风险过程,得到了一些关于负相协D族随机变量随机和的大偏差结果,以及破产概率的弱等价性.
|
| 关 键 词： | 负相协 控制分布族 破产 大偏差 Negatively associated The dominated-tailed distribution class Ruin Large eviations 负相协 模型 大偏差 应用 Applications Dominatedly Varying Tails Models Generalized Deviations weak equivalence probability time of ruin application results large deviations associated random variables negatively common dominatedly varying tails |
| 文章编号： | 1001-9847(2008)02-0219-06 |
| 修稿时间： | 2007年3月12日 |
Large Deviations for Generalized Sparre-Andersen Models with NA Dominatedly Varying Tails and its Applications |
| |
| YANG Yang,WANG Yue-bao.Large Deviations for Generalized Sparre-Andersen Models with NA Dominatedly Varying Tails and its Applications[J].Mathematica Applicata,2008,21(2):219-224. |
| |
| Authors: | YANG Yang WANG Yue-bao |
| |
| Abstract: | We extend the classical Sparre-Andersen risk model to a general case where the premium income process is no longer a linear function,and obtain some corresponding results on large deviations for random sums of negatively associated random variables with common dominatedly varying tails.As an application,we derive the weak equivalence of the probability of the time of ruin. |
| |
| Keywords: | Negatively associated The dominated-tailed distribution class Ruin Large eviations |
| 本文献已被 维普 万方数据 等数据库收录！ |
