[1]柳福祥,龚 婵,崔 盛*.服从FGM Copula的实值重尾随机游动的局部Max-Sum等价[J].江西师范大学学报(自然科学版),2020,(06):609-613.[doi:10.16357/j.cnki.issn1000-5862.2020.06.11]
 LIU Fuxiang,GONG Chan,CUI Sheng*.The Local Max-Sum Equivalence of Real Valued Random Walks with Heavy-Tailed Increments Following FGM Copula[J].Journal of Jiangxi Normal University:Natural Science Edition,2020,(06):609-613.[doi:10.16357/j.cnki.issn1000-5862.2020.06.11]
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服从FGM Copula的实值重尾随机游动的局部Max-Sum等价()
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《江西师范大学学报》(自然科学版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2020年06期
页码:
609-613
栏目:
数学与应用数学
出版日期:
2020-12-20

文章信息/Info

Title:
The Local Max-Sum Equivalence of Real Valued Random Walks with Heavy-Tailed Increments Following FGM Copula
文章编号:
1000-5862(2020)06-0609-05
作者:
柳福祥龚 婵崔 盛*
三峡大学理学院,湖北 宜昌 443002
Author(s):
LIU FuxiangGONG ChanCUI Sheng*
College of Science,China Three Gorges University,Yichang Hubei 443002,China
关键词:
局部重尾分布 FGM copula 局部Max-Sum等价
Keywords:
local heavy-tailed distribution FGM copula local max-sum equivalence
分类号:
O 211.3
DOI:
10.16357/j.cnki.issn1000-5862.2020.06.11
文献标志码:
A
摘要:
该文考虑了服从FGM copula的实值重尾随机游动.在边缘分布满足一定条件下,利用局部重尾分布理论和FGM copula的有关性质研究了部分和的尾分布局部渐近性质,进而将在该相依结构下重尾随机游动的局部Max-Sum等价成立的范围由正实数推广到全体实数情形.该结果在风险理论中具有一定的应用价值.
Abstract:
The random walks with heavy-tailed increments following FGM copula are considered in this paper.Using a few of properties of local heavy-tailed distributions and FGM copula,the local asymptotics for the tail probabilities of partial sums are established under some mild conditions.Then,the local max-sum equivalence is generalized to the real value case and it has some values of application in risk theory.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2020-08-30
基金项目:国家自然科学基金(71671166)和教育部人文社科规划基金(17YJA630066)资助项目.
通信作者:崔 盛(1979-),男,湖北宜昌人,讲师,博士,主要从事保险精算与风险管理研究.E-mail:cs10220896@163.com
更新日期/Last Update: 2020-12-20