Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure

DOI10.1016/j.spl.2022.109440zbMath1484.62127OpenAlexW4213373631WikidataQ115566805 ScholiaQ115566805MaRDI QIDQ2128938

Meng Yuan, Dawei Lu

Publication date: 22 April 2022

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

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109440

zbMATH Keywords

large deviationsrenewal risk modelsub-exponential distributionsemi-Markov type dependence structure

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Risk models (general) (91B05)

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