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

Zhiqiang Hua, Lixin Song, Dawei Lu and Xiaomeng Qi

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 2, 736-746

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.

Date: 2017
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DOI: 10.1080/03610926.2015.1004094

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