二维回归相依风险模型的精细大偏差

Acta mathematica scientia,Series A ›› 2022, Vol. 42 ›› Issue (3): 934-942.

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Precise Large Deviations for a Bidimensional Risk Model with the Regression Dependent Structure

Zhenlong Chen¹(),Yang Liu¹(),Ke-ang Fu^1,^2,*()

¹ School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018
² Department of Statistics, Zhejiang University City College, Hangzhou 310015

Received:2021-03-23 Online:2022-06-26 Published:2022-05-09
Contact: Ke-ang Fu E-mail:zlchen@zjgsu.edu.cn;sukey07828@163.com;fukeang@hotmail.com
Supported by:
the NSFC(11971432);the NSSFC(20BTJ050);the NSF of Zhejiang Province(LY21G010003);the Zhejiang Province Focuses on the Construction of Advantageous and Characteristic Disciplines in Universities(Statistics of Zhejiang Industrial and Commercial University)

Abstract

Abstract:

In this paper, we consider a non-standard bidimensional risk model, in which the claim sizes $ \{\vec{X}_k=(X_{1k}, X_{2k})^T, $ $k\ge 1\}$ form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other, and there exists a regression dependent structure between these vectors and the inter-arrival times. By assuming that the univariate marginal distributions of claim vectors have consistently varying tails, we obtain the precise large deviation formulas for the bidimensional risk model with the regression dependent structure.

Key words: Bidimensional risk model, Consistently varying tail, Precise large deviations, Regression dependence

CLC Number:

O211.4

Zhenlong Chen,Yang Liu,Ke-ang Fu. Precise Large Deviations for a Bidimensional Risk Model with the Regression Dependent Structure[J].Acta mathematica scientia,Series A, 2022, 42(3): 934-942.

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Precise Large Deviations for a Bidimensional Risk Model with the Regression Dependent Structure

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