Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
From MaRDI portal
Publication:2435745
DOI10.1016/j.spl.2013.06.009zbMath1281.62223MaRDI QIDQ2435745
Publication date: 19 February 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.06.009
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F10: Large deviations
60J99: Markov processes
Related Items
Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals, Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force, Unnamed Item, Reversible reshaping of supported metal nanoislands under reaction conditions in a minimalistic lattice model, Web renewal counting processes and their applications in insurance, Statistical analysis of nonlinear processes based on penalty factor, Multimode process monitoring based on data-driven method, Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model, Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure, Several properties of a nonstandard renewal counting process and their applications, Large deviations for sums of claims in a general renewal risk model with the regression dependent structure, Quality-relevant fault detection and diagnosis for hot strip mill process with multi-specification and multi-batch measurements, The exponential moment tail of inhomogeneous renewal process, Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model, Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times, Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model, Precise large deviations of aggregate claims in a compound size-dependent renewal risk model
Cites Work
- Unnamed Item
- Unnamed Item
- Web Markov skeleton processes and their applications
- A large deviation result for aggregate claims with dependent claim occurrences
- Precise large deviation results for the total claim amount under subexponential claim sizes
- Precise large deviations for dependent random variables with heavy tails
- A property of the renewal counting process with application to the finite-time ruin probability
- On the strong law of large numbers for sequences of dependent random variables
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- The general principle for precise large deviations of heavy-tailed random sums
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Extremes on the discounted aggregate claims in a time dependent risk model
- On a risk model with dependence between interclaim arrivals and claim sizes
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- Precise large deviations for the prospective-loss process
- Precise large deviations for sums of random variables with consistently varying tails
- Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
- Exponential Behavior in the Presence of Dependence in Risk Theory