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Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation

Author

Listed:
  • Yiqing Chen

    (The University of Liverpool)

  • Kam C. Yuen

    (The University of Hong Kong)

  • Kai W. Ng

    (The University of Hong Kong)

Abstract

The study of precise large deviations for random sums is an important topic in insurance and finance. In this paper, we extend recent results of Tang (Electron J Probab 11(4):107–120, 2006) and Liu (Stat Probab Lett 79(9):1290–1298, 2009) to random sums in various situations. In particular, we establish a precise large deviation result for a nonstandard renewal risk model in which innovations, modelled as real-valued random variables, are negatively dependent with common consistently-varying-tailed distribution, and their inter-arrival times are also negatively dependent.

Suggested Citation

  • Yiqing Chen & Kam C. Yuen & Kai W. Ng, 2011. "Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 821-833, December.
    • Handle: RePEc:spr:metcap:v:13:y:2011:i:4:d:10.1007_s11009-010-9194-7
    DOI: 10.1007/s11009-010-9194-7
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    References listed on IDEAS

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    1. Cline, D. B. H. & Samorodnitsky, G., 1994. "Subexponentiality of the product of independent random variables," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 75-98, January.
    2. Liu, Yan, 2007. "Precise large deviations for negatively associated random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 181-189, January.
    3. Shen, Xinmei & Lin, Zhengyan, 2008. "Precise large deviations for randomly weighted sums of negatively dependent random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3222-3229, December.
    4. Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
    5. Lin, Jianxi, 2008. "The general principle for precise large deviations of heavy-tailed random sums," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 749-758, April.
    6. Kaas, Rob & Tang, Qihe, 2005. "A large deviation result for aggregate claims with dependent claim occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 251-259, June.
    7. Baltrunas, Aleksandras & Leipus, Remigijus & Siaulys, Jonas, 2008. "Precise large deviation results for the total claim amount under subexponential claim sizes," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1206-1214, August.
    8. Liu, Li, 2009. "Precise large deviations for dependent random variables with heavy tails," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1290-1298, May.
    9. Tang, Qihe & Su, Chun & Jiang, Tao & Zhang, Jinsong, 2001. "Large deviations for heavy-tailed random sums in compound renewal model," Statistics & Probability Letters, Elsevier, vol. 52(1), pages 91-100, March.
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    Citations

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    Cited by:

    1. Chen, Zhangting & Cheng, Dongya, 2024. "Precise large deviations for non-centralized sums of partial sums and random sums of heavy-tailed END random variables," Statistics & Probability Letters, Elsevier, vol. 211(C).
    2. He, Wei & Cheng, Dongya & Wang, Yuebao, 2013. "Asymptotic lower bounds of precise large deviations with nonnegative and dependent random variables," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 331-338.
    3. Dimitrios G. Konstantinides, 2018. "Precise Large Deviations for Subexponential Distributions in a Multi Risk Model," Risks, MDPI, vol. 6(2), pages 1-13, March.
    4. Xuejun Wang & Chen Xu & Tien-Chung Hu & Andrei Volodin & Shuhe Hu, 2014. "On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 607-629, September.
    5. Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.

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