Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times

DOI10.1016/J.SPL.2023.109809zbMath1517.60033OpenAlexW4321792425MaRDI QIDQ6165364

Qingwu Gao, Xijun Liu, Jianan Lin

Publication date: 4 July 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109809

zbMATH Keywords

asymptoticslarge deviationsconsistent variationcompound risk modelarbitrary dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Risk models (general) (91B05)

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