The differences between two sequences of nonnegative independent and identically distributed random variables with sub-exponential tails and the random index are studied. The random index is a strictly stationary rene...The differences between two sequences of nonnegative independent and identically distributed random variables with sub-exponential tails and the random index are studied. The random index is a strictly stationary renewal counting process generated by some negatively associated random variables. Using a revised large deviation result of partial sums, the elementary renewal theorem and the central limit theorem of negatively associated random variables, a precise large deviation result is derived for the random sums. The result is applied to the customer-arrival-based insurance risk model. Some uniform asymptotics for the ruin probabilities of an insurance company are obtained as the number of customers or the time tends to infinity.展开更多
基金The National Natural Science Foundation of China (No.10671139,11001052)the Natural Science Foundation of Jiangsu Province(No. BK2008284 )+2 种基金China Postdoctoral Science Foundation ( No.20100471365)the Natural Science Foundation of Higher Education Institutions of Jiangsu Province (No. 09KJD110003)Postdoctoral Research Program of Jiangsu Province (No.0901029C)
文摘The differences between two sequences of nonnegative independent and identically distributed random variables with sub-exponential tails and the random index are studied. The random index is a strictly stationary renewal counting process generated by some negatively associated random variables. Using a revised large deviation result of partial sums, the elementary renewal theorem and the central limit theorem of negatively associated random variables, a precise large deviation result is derived for the random sums. The result is applied to the customer-arrival-based insurance risk model. Some uniform asymptotics for the ruin probabilities of an insurance company are obtained as the number of customers or the time tends to infinity.
