Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Fengyang Cheng"'
Publikováno v:
Japan Journal of Industrial and Applied Mathematics. 38:947-963
Consider a generalized bidimensional continuous-time risk model with heavy-tailed claims and Brownian perturbations, in which the claim sizes from each line of business are dependent according to the dependence structure first proposed by [12] and la
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51531f4d3f0cc1f9ca0fe33507d3c70b
https://doi.org/10.1007/s13160-021-00472-0
https://doi.org/10.1007/s13160-021-00472-0
Autor:
Fengyang Cheng
Publikováno v:
Chinese Annals of Mathematics, Series B. 41:441-450
The author obtains that the asymptotic relations $$\mathbb{P}\left( {\sum\limits_{i = 1}^n {{\theta _i}{X_i}} >x} \right) \sim \mathbb{P}\left( {\mathop {\max }\limits_{1 \le m \le n} \sum\limits_{i = 1}^m {{\theta _i}{X_i}} >x} \right) \sim \mathbb{
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2bb6c15acf99c096f202caa6326b002d
https://doi.org/10.1007/s11401-020-0209-6
https://doi.org/10.1007/s11401-020-0209-6
Publikováno v:
Communications in Statistics - Theory and Methods. 48:3325-3340
Let X be a real valued random variable with an unbounded distribution F and let Y be a nonnegative valued random variable with a distribution G. Suppose that X and Y satisfy that P(X>x|Y=y)∼h(y)P(X...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fcd812ea46f89b325f6b45a298589313
https://doi.org/10.1080/03610926.2018.1476705
https://doi.org/10.1080/03610926.2018.1476705
Publikováno v:
Advances in Applied Probability. 50:57-73
Let X and Y be two independent and nonnegative random variables with corresponding distributions F and G. Denote by H the distribution of the product XY, called the product convolution of F and G. Cline and Samorodnitsky (1994) proposed sufficient co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f9a0dedd5a8c0c7771f946fa4b6126a
https://doi.org/10.1017/apr.2018.4
https://doi.org/10.1017/apr.2018.4
Autor:
Qiuying Zhang, Fengyang Cheng
Publikováno v:
Scandinavian Actuarial Journal. 2018:450-463
In this paper, we investigate the precise local large deviation probabilities for random sums of independent real-valued random variables with a common heavy-tailed distribution F, where is an -regularly varying function for some fixed constant (fini
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https://explore.openaire.eu/search/publication?articleId=doi_________::3140404df802d4a2a970b4901c8d6ae2
https://doi.org/10.1080/03461238.2017.1377106
https://doi.org/10.1080/03461238.2017.1377106
Randomly weighted sums of dependent subexponential random variables with applications to risk theory
Autor:
Dongya Cheng, Fengyang Cheng
Publikováno v:
Scandinavian Actuarial Journal. 2018:191-202
For any fixed integer , let be real-valued random variables with a common subexponential distribution, and let be positive random variables which are bounded above and independent of . Under some rather loose conditional dependence assumptions on the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::45ee31b57430bab788f5307dcea4ac00
https://doi.org/10.1080/03461238.2017.1329160
https://doi.org/10.1080/03461238.2017.1329160
Autor:
Fengyang Cheng, Minghua Li
Publikováno v:
Chinese Annals of Mathematics, Series B. 37:753-766
Let {X, Xk: k ≥ 1} be a sequence of independent and identically distributed random variables with a common distribution F. In this paper, the authors establish some results on the local precise large and moderate deviation probabilities for partial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::09e377458012e74964cc52c73511c671
https://doi.org/10.1007/s11401-016-1002-4
https://doi.org/10.1007/s11401-016-1002-4
Autor:
Fengyang Cheng, Yanfang Zhang
Publikováno v:
Communications in Statistics - Theory and Methods. 46:5888-5895
In this paper, we obtain some results for the asymptotic behavior of the tail probability of a random sum Sτ = ∑τk = 1Xk, where the summands Xk, k = 1, 2, …, are conditionally dependent random variables with a common subexponential distribution
Externí odkaz:
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https://doi.org/10.1080/03610926.2015.1112916
https://doi.org/10.1080/03610926.2015.1112916
Autor:
Fengyang Cheng
Publikováno v:
Journal of Mathematical Analysis and Applications. 432:504-516
Let { ξ , ξ k : k ≥ 1 } be a sequence of widely orthant dependent random variables with common distribution F satisfying E ξ > 0 . Let τ be a nonnegative integer-valued random variable. In this paper, we discuss the tail probabilities of random
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3611beac36f9348f7d80dfc3fb964668
https://doi.org/10.1016/j.jmaa.2015.06.056
https://doi.org/10.1016/j.jmaa.2015.06.056
Autor:
Hui Xu, Fengyang Cheng
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common subexpone
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4b56e59ad33cd3626c988c35d66560ab
