Consider a continuous-time renewal risk model, in which every main claim induces a delayed by-claim. Assume that the main claim sizes and the inter-arrival times form a sequence of identically distributed random pairs...Consider a continuous-time renewal risk model, in which every main claim induces a delayed by-claim. Assume that the main claim sizes and the inter-arrival times form a sequence of identically distributed random pairs, with each pair obeying a dependence structure, and so do the by-claim sizes and the delay times. Supposing that the main claim sizes with by-claim sizes form a sequence of dependent random variables with dominatedly varying tails, asymptotic estimates for the ruin probability of the surplus process are investigated, by establishing a weakly asymptotic formula, as the initial surplus tends to infinity.展开更多
Consider the positive d-dimensional lattice Z^d（d≥2） with partial ordering ≤, let {XK; K∈Z＋^d} be i.i.d, random variables taking values in a real separable Hilbert space （H, ｜｜·｜｜） with mean zero and ...Consider the positive d-dimensional lattice Z^d（d≥2） with partial ordering ≤, let {XK; K∈Z＋^d} be i.i.d, random variables taking values in a real separable Hilbert space （H, ｜｜·｜｜） with mean zero and covariance operator ∑ and set partial sums SN =∑K≤nXK,K,N∈Z＋^d. Under some moment conditions, we obtain the precise asymptotics of a kind of weighted infinite series for partial sums SN as ε↓ by using the truncation and approximation methods. The results are related to the convergence rates of the law of the logarithm in Hilbert space, and they also extend the results of （Gut and Spataru, 2003）.展开更多
Consider a multidimensional renewal risk model, in which the claim sizes {Xk, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be depende...Consider a multidimensional renewal risk model, in which the claim sizes {Xk, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained.展开更多
Let variables in the {X, Xn, n ≥ 1} be a sequence of strictly stationary φ-mixing positive random domain of attraction of the normal law. Under some suitable conditions the principle for self-normalized products of ...Let variables in the {X, Xn, n ≥ 1} be a sequence of strictly stationary φ-mixing positive random domain of attraction of the normal law. Under some suitable conditions the principle for self-normalized products of partial sums is obtained.展开更多
Consider a two-dimensional renewal risk model,in which the claim sizes{Xk;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-...Consider a two-dimensional renewal risk model,in which the claim sizes{Xk;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-arrival times form a sequence of i.i.d.random pairs,with each pair obeying a dependence structure via the conditional distribution of the inter-arrival time given the subsequent claim size being large.Then a precise large-deviation formula of the aggregate amount of claims is obtained.展开更多
基金Supported by the National Natural Science Foundation of China(11301481,11201422,11371321)Zhejiang Provincial Key Research Base for Humanities and Social Science Research(Statistics)Foundation for Young Talents of ZJGSU(1020XJ1314019)
文摘Consider a continuous-time renewal risk model, in which every main claim induces a delayed by-claim. Assume that the main claim sizes and the inter-arrival times form a sequence of identically distributed random pairs, with each pair obeying a dependence structure, and so do the by-claim sizes and the delay times. Supposing that the main claim sizes with by-claim sizes form a sequence of dependent random variables with dominatedly varying tails, asymptotic estimates for the ruin probability of the surplus process are investigated, by establishing a weakly asymptotic formula, as the initial surplus tends to infinity.
基金Project (No. 10471126) supported by the National Natural Science Foundation of China
文摘Consider the positive d-dimensional lattice Z^d（d≥2） with partial ordering ≤, let {XK; K∈Z＋^d} be i.i.d, random variables taking values in a real separable Hilbert space （H, ｜｜·｜｜） with mean zero and covariance operator ∑ and set partial sums SN =∑K≤nXK,K,N∈Z＋^d. Under some moment conditions, we obtain the precise asymptotics of a kind of weighted infinite series for partial sums SN as ε↓ by using the truncation and approximation methods. The results are related to the convergence rates of the law of the logarithm in Hilbert space, and they also extend the results of （Gut and Spataru, 2003）.
基金Supported by the National Natural Science Foundation of China(Nos.11571058&11301481)Humanities and Social Science Foundation of the Ministry of Education of China(No.17YJC910007)+1 种基金Zhejiang Provincial Natural Science Foundation of China(No.LY17A010004)Fundamental Research Funds for the Central Universities(No.DUT17LK31)
文摘Consider a multidimensional renewal risk model, in which the claim sizes {Xk, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained.
基金National Natural Science Foundation of China(1067117610771192).
文摘Let variables in the {X, Xn, n ≥ 1} be a sequence of strictly stationary φ-mixing positive random domain of attraction of the normal law. Under some suitable conditions the principle for self-normalized products of partial sums is obtained.
基金by the National Social Science Foundation of China(No.20BTJ050).
文摘Consider a two-dimensional renewal risk model,in which the claim sizes{Xk;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-arrival times form a sequence of i.i.d.random pairs,with each pair obeying a dependence structure via the conditional distribution of the inter-arrival time given the subsequent claim size being large.Then a precise large-deviation formula of the aggregate amount of claims is obtained.
