Convergence rates of tail probabilities for sums under dependence assumptions
β Scribed by Xiao Rong Yang; Wei Dong Liu; Ke Ang Fu; Lin Xin Zhang
- Publisher
- Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 2010
- Tongue
- English
- Weight
- 224 KB
- Volume
- 26
- Category
- Article
- ISSN
- 1439-7617
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
It is well known that a bivariate distribution belongs to the domain of attraction of an extreme value distribution G if and only if the marginals belong to the domain of attraction of the univariate marginal extreme value distributions and the dependence function converges to the stable tail depend
## Abstract In this article, we consider two discreteβtime risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive movingβaverage (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be i