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Precise large deviations for the difference of two sums of END random variables with heavy tails

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  • Zhiqiang Hua
  • Lixin Song
  • Dawei Lu
  • Xiaomeng Qi

Abstract

Assume that there are two types of insurance contracts in an insurance company, and the ith related claims are denoted by {Xij, j ⩾ 1}, i = 1, 2. In this article, the asymptotic behaviors of precise large deviations for non random difference ∑n1(t)j = 1X1j − ∑n2(t)j = 1X2j and random difference ∑N1(t)j = 1X1j − ∑N2(t)j = 1X2j are investigated, and under several assumptions, some corresponding asymptotic formulas are obtained.

Suggested Citation

  • Zhiqiang Hua & Lixin Song & Dawei Lu & Xiaomeng Qi, 2017. "Precise large deviations for the difference of two sums of END random variables with heavy tails," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(2), pages 736-746, January.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:2:p:736-746
    DOI: 10.1080/03610926.2015.1004094
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