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1.
We investigate the precise large deviations of random sums of negatively dependent random variables with consistently varying tails. We find out the asymptotic behavior of precise large deviations of random sums is insensitive to the negative dependence. We also consider the generalized dependent compound renewal risk model with consistent variation, which including premium process and claim process, and obtain the asymptotic behavior of the tail probabilities of the claim surplus process. 相似文献
2.
Janet E. Heffernan 《Extremes》2000,3(3):279-290
Models characterizing the asymptotic dependence structures of bivariate distributions have been introduced by Ledford and Tawn (1996), among others, and diagnostics for such dependence behavior are presented in Coles et al. (1999). The following pages are intended as a supplement to the papers of Ledford and Tawn and Coles et al. In particular we focus on the coefficient of tail dependence, which we evaluate for a wide range of bivariate distributions. We find that for many commonly employed bivariate distributions there is little flexibility in the range of limiting dependence structure accommodated. Many distributions studied have coefficients of tail dependence corresponding to near independence or a strong form of dependence known as asymptotic dependence. 相似文献
3.
In this paper,we investigate the asymptotic behavior for the finite- and infinite-time ruin probabilities of a nonstandard renewal model in which the claims are identically distributed but not necessarily independent. Under the assumptions that the identical distribution of the claims belongs to the class of extended regular variation(ERV) and that the tails of joint distributions of every two claims are negligible compared to the tails of their margins,we obtain the precise approximations for the finite- and infinite-time ruin probabilities. 相似文献
4.
In this paper, we consider four common types of ruin probabilities for a discrete‐time multivariate risk model, where the insurer is assumed to be exposed to a vector of net losses resulting from a number of business lines over each period. By assuming a large initial capital for the risk model and regularly varying distributions for the net losses, we establish some interesting asymptotic estimates for ruin probabilities in terms of the upper tail dependence function of the net loss vector. Our results insightfully characterize how the dependence structure among the individual net losses affect the ruin probabilities in an asymptotic sense, and more importantly, from our main results, explicit asymptotic estimates for those ruin probabilities can be obtained via specifying a copula for the net loss vectors. Copyright © 2013 John Wiley & Sons, Ltd. 相似文献
5.
Jianxi Lin 《Extremes》2014,17(2):247-262
In this paper we establish the second order asymptotics for the tail probabilities of partial sums of independent real random variables and the maxima of these sums under the framework of subexponential distributions. For this aim, second order subexponential distributions are extended to the whole real line. An application to ruin theory is involved. 相似文献
6.
Gaowen Wang 《商业与工业应用随机模型》2011,27(4):421-433
We consider asymptotic behavior of self‐normalized sums of autoregressive fractionally integrated moving average (ARFIMA) processes whose innovations are GARCH errors. The asymptotic distribution of the sums is derived under very mild conditions. Applications to unit root tests with ARFIMA–GARCH errors are discussed. It is shown that even when the errors exhibit both long‐range dependence and heavy‐tailed conditional heteroscedasticity, the asymptotic distributions of the Dickey–Fuller ρ‐type tests are functionals of standard Brownian motion rather than those of fractional Brownian motions. Some Monte Carlo simulations are provided to illustrate the finite sample properties of two of the tests. Copyright © 2010 John Wiley & Sons, Ltd. 相似文献
7.
We consider the classical M/G/1 queue with two priority classes and the nonpreemptive and preemptive-resume disciplines. We show that the low-priority steady-state
waiting-time can be expressed as a geometric random sum of i.i.d. random variables, just like the M/G/1 FIFO waiting-time distribution. We exploit this structures to determine the asymptotic behavior of the tail probabilities.
Unlike the FIFO case, there is routinely a region of the parameters such that the tail probabilities have non-exponential
asymptotics. This phenomenon even occurs when both service-time distributions are exponential. When non-exponential asymptotics
holds, the asymptotic form tends to be determined by the non-exponential asymptotics for the high-priority busy-period distribution.
We obtain asymptotic expansions for the low-priority waiting-time distribution by obtaining an asymptotic expansion for the
busy-period transform from Kendall's functional equation. We identify the boundary between the exponential and non-exponential
asymptotic regions. For the special cases of an exponential high-priority service-time distribution and of common general
service-time distributions, we obtain convenient explicit forms for the low-priority waiting-time transform. We also establish
asymptotic results for cases with long-tail service-time distributions. As with FIFO, the exponential asymptotics tend to
provide excellent approximations, while the non-exponential asymptotics do not, but the asymptotic relations indicate the
general form. In all cases, exact results can be obtained by numerically inverting the waiting-time transform.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
8.
9.
We analyze the tail of the sum of two random variables when the dependence structure is driven by the Bernstein family of copulas. We consider exponential and Pareto distributions as marginals. We show that the first term in the asymptotic behavior of the sum is not driven by the dependence structure when a Pareto random variable is involved. Consequences on the Value-at-Risk are derived and examples are discussed. 相似文献
10.
Haijun Li 《Journal of multivariate analysis》2009,100(1):243-256
The orthant tail dependence describes the relative deviation of upper- (or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its components, and can be used in the study of dependence among extreme values. Using the conditional approach, this paper examines the extremal dependence properties of multivariate extreme value distributions and their scale mixtures, and derives the explicit expressions of orthant tail dependence parameters for these distributions. Properties of the tail dependence parameters, including their relations with other extremal dependence measures used in the literature, are discussed. Various examples involving multivariate exponential, multivariate logistic distributions and copulas of Archimedean type are presented to illustrate the results. 相似文献
11.
潘家柱 《中国科学A辑(英文版)》2002,45(6):749-760
Discussed in this paper is the dependent structure in the tails of distributions of random variables from some heavy-tailed
stationary nonlinear time series. One class of models discussed is the first-order autoregressive conditional heteroscedastic
(ARCH) process introduced by Engle (1982). The other class is the simple first-order bilinear models driven by heavy-tailed
innovations. We give some explicit formulas for the asymptotic values of conditional probabilities used for measuring the
tail dependence between two random variables from these models. Our results have significant meanings in finance. 相似文献
12.
Alexandru V. Asimit 《Insurance: Mathematics and Economics》2007,41(1):53-61
This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of componentwise maxima, the limiting upper copula, and a bivariate version of the classical peaks over threshold result. 相似文献
13.
Dominik Kortschak 《Extremes》2012,15(3):353-388
In this paper we consider dependent random variables with common regularly varying marginal distribution. Under the assumption that these random variables are tail-independent, it is well known that the tail of the sum behaves like in the independence case. Under some conditions on the marginal distributions and the dependence structure (including Gaussian copula’s and certain Archimedean copulas) we provide the second-order asymptotic behavior of the tail of the sum. 相似文献
14.
This paper considers the asymptotics of randomly weighted sums and their maxima, where the increments {X_i,i\geq1\} is a sequence of independent, identically distributed and real-valued random variables and the weights {\theta_i,i\geq1\} form another sequence of non-negative and independent random variables, and the two sequences of random variables follow some dependence structures. When the common distribution F of the increments belongs to dominant variation class, we obtain some weakly asymptotic estimations for the tail probability of randomly weighted sums and their maxima. In particular, when the F
belongs to consistent variation class, some asymptotic formulas is presented. Finally, these results are applied to the asymptotic estimation for the ruin probability. 相似文献
15.
Chengguo Weng Yi Zhang Ken Seng Tan 《Methodology and Computing in Applied Probability》2013,15(3):655-682
This paper considers the tail behavior of Poisson shot noise processes where the shock random variables are generally dependent but bivariate upper tail independent. Some uniform asymptotic relations are established for tail probabilities of the process. As the Poisson shot noise process can capture the effects of delay factors and the interest factor in the insurance business, these established results are very useful in many insurance applications. As examples, they are applied to two important actuarial topics: ruin probabilities and insurance premium approximation. 相似文献
16.
Obtaining (tail) probabilities from a transform function is an important topic in queueing theory. To obtain these probabilities
in discrete-time queueing systems, we have to invert probability generating functions, since most important distributions
in discrete-time queueing systems can be determined in the form of probability generating functions. In this paper, we calculate
the tail probabilities of two particular random variables in discrete-time priority queueing systems, by means of the dominant
singularity approximation. We show that obtaining these tail probabilities can be a complex task, and that the obtained tail
probabilities are not necessarily exponential (as in most ‘traditional’ queueing systems). Further, we show the impact and
significance of the various system parameters on the type of tail behavior. Finally, we compare our approximation results
with simulations. 相似文献
17.
研究了服从长尾分布族上的随机变量和的精确大偏差问题,其中假设代表索赔额的随机变量序列是一列宽上限相依的、不同分布的随机变量序列。在给定一些假设条件下,得到了部分和与随机和的两种一致渐近结论。 相似文献
18.
How does innovation''''s tail risk determine marginal tail risk of a stationary financial time series? 总被引:6,自引:1,他引:5
We discuss the relationship between the marginal tail risk probability and theinnovation's tail risk probability for some stationary financial time series models. We firstgive the main results on the tail behavior of a class of infinite weighted sums of randomvariables with heavy-tailed probabilities. And then, the main results are applied to threeimportant types of time series models; infinite order moving averages, the simple bilineartime series and the solutions of stochastic difference equations. The explicit formulasare given to describe how the marginal tail probabilities come from the innovation's tailprobabilities for these time series. Our results can be applied to the tail estimation of timeseries and are useful for risk analysis in finance. 相似文献
19.
Dominik Kortschak Hansjörg Albrecher 《Methodology and Computing in Applied Probability》2009,11(3):279-306
In this paper we extend some results about the probability that the sum of n dependent subexponential random variables exceeds a given threshold u. In particular, the case of non-identically distributed and not necessarily positive random variables is investigated. Furthermore
we establish criteria how far the tail of the marginal distribution of an individual summand may deviate from the others so
that it still influences the asymptotic behavior of the sum. Finally we explicitly construct a dependence structure for which,
even for regularly varying marginal distributions, no asymptotic limit of the tail of the sum exists. Some explicit calculations
for diagonal copulas and t-copulas are given.
Dominik Kortschak was supported by the Austrian Science Fund Project P18392. 相似文献
20.
Superpositions of Ornstein-Uhlenbeck processes provide convenient ways to build stationary processes with given marginal distributions and long range dependence. After reviewing some of the basic features, we present several examples of processes with non-Gaussian marginal distributions. Our main results concern asymptotic properties of sums and partial sums of these processes and their polynomial functions. Further, we discuss some applications to estimation. 相似文献