Precise large deviations for sub-exponential multivariate sums in t-copula-dependent renewal risk models

DOI10.1016/J.CNSNS.2024.108514MaRDI QIDQ7027742zbMATH OpenFDO

Authors Ebenezer Fiifi Emire Atta Mills, Siegfried Kafui Anyomi

Publication date 14 February 2025

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CNSNS.2024.108514

zbMATH Keywords

copula-based dependencemultivariateprecise large deviationrenewal risk model

Mathematics Subject Classification ID

Limit theorems in probability theory (60Fxx) Applications of statistics (62Pxx) Mathematical economics (91Bxx)

Cites work

• A mixed copula model for insurance claims and claim sizes
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Multilevel modeling of insurance claims using copulas
• Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
• Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
• Precise large deviations for sums of random vectors with dependent components of consistently varying tails
• Precise large deviations of aggregate claim amount in a dependent renewal risk model
• Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
• Two‐part D‐vine copula models for longitudinal insurance claim data

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