Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model (Q889470): Difference between revisions

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English	Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model	scientific article

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scholarly article

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title

Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model (English)

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Lithuanian Mathematical Journal

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publication date

6 November 2015

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zbMATH Keywords

large deviations

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compound customer-arrival-based insurance risk model

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actual aggregate loss process

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consistent variation

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negative dependence

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shot noise

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10986-013-9221-9

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cites work

Q3924997

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Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model

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Q4726487

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Some concepts of negative dependence

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Precise large deviations of random sums in presence of negative dependence and consistent variation

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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

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Q4743586

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Q4343010

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Negative association of random variables, with applications

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Delay in claim settlement and ruin probability approximations

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Explosive Poisson shot noise processes with applications to risk reserves

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Large deviations of heavy-tailed random sums with applications in insurance and finance

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Regular variation in the mean and stable limits for Poisson shot noise

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A property of the renewal counting process with application to the finite-time ruin probability

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Large deviations of heavy-tailed sums with applications in insurance

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Precise large deviations for the prospective-loss process

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Precise large deviations for sums of random variables with consistently varying tails

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Precise Large Deviations for the Actual Aggregate Loss Process

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Insensitivity to negative dependence of the asymptotic behavior of precise large deviations

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Large deviations for heavy-tailed random sums in compound renewal model

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Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

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A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails

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Precise large deviations for sums of negatively associated random variables with common dominatedly varying tails

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Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails

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Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

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Precise large deviations for dependent random variables with applications to the compound renewal risk model

0 references

Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications

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Identifiers

zbMATH Open document ID

1337.60034

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DOI

10.1007/s10986-013-9221-9

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:889470

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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10986-013-9221-9
+Normal rank
@@ Property / OpenAlex ID @@
+W1989062618
@@ Property / OpenAlex ID: W1989062618 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3924997
@@ Property / cites work: Q3924997 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Some concepts of negative dependence
@@ Property / cites work: Some concepts of negative dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Precise large deviations of random sums in presence of negative dependence and consistent variation
+Normal rank
@@ Property / cites work @@
+Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
+Normal rank
@@ Property / cites work @@
+Q4743586
@@ Property / cites work: Q4743586 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Negative association of random variables, with applications
+Normal rank
@@ Property / cites work @@
+Delay in claim settlement and ruin probability approximations
+Normal rank
@@ Property / cites work @@
+Explosive Poisson shot noise processes with applications to risk reserves
+Normal rank
@@ Property / cites work @@
+Large deviations of heavy-tailed random sums with applications in insurance and finance
+Normal rank
@@ Property / cites work @@
+Regular variation in the mean and stable limits for Poisson shot noise
+Normal rank
@@ Property / cites work @@
+A property of the renewal counting process with application to the finite-time ruin probability
+Normal rank
@@ Property / cites work @@
+Large deviations of heavy-tailed sums with applications in insurance
+Normal rank
@@ Property / cites work @@
+Precise large deviations for the prospective-loss process
+Normal rank
@@ Property / cites work @@
+Precise large deviations for sums of random variables with consistently varying tails
+Normal rank
@@ Property / cites work @@
+Precise Large Deviations for the Actual Aggregate Loss Process
+Normal rank
@@ Property / cites work @@
+Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
+Normal rank
@@ Property / cites work @@
+Large deviations for heavy-tailed random sums in compound renewal model
+Normal rank
@@ Property / cites work @@
+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
+Normal rank
@@ Property / cites work @@
+A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails
+Normal rank
@@ Property / cites work @@
+Precise large deviations for sums of negatively associated random variables with common dominatedly varying tails
+Normal rank
@@ Property / cites work @@
+Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
+Normal rank
@@ Property / cites work @@
+Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+Precise large deviations for dependent random variables with applications to the compound renewal risk model
+Normal rank
@@ Property / cites work @@
+Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
+Normal rank