Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
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Publication:2657010
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Cites work
- A large deviation result for aggregate claims with dependent claim occurrences
- Asymptotics for large claims reinsurance in a time-dependent renewal risk model
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- Comment on the work of Zhang et al. ``Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
- Exponential Behavior in the Presence of Dependence in Risk Theory
- Extremes on the discounted aggregate claims in a time dependent risk model
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- On a risk model with dependence between interclaim arrivals and claim sizes
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
- Precise large deviations for sums of random variables with consistently varying tails
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
- Quantitative risk management. Concepts, techniques and tools
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Systemic risk: an asymptotic evaluation
- Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test
Cited in
(14)- Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure
- Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times
- Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times
- Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times
- Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
- Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times
- Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
- Precise large deviations for non-centralized sums of partial sums and random sums of heavy-tailed END random variables
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
- Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
- Precise large deviations of the net loss process in a non-standard two-dimensional risk model
- Precise large deviations for the total net loss process in compound risk model with dependence structures
- Vector-type precise large deviations for a nonstandard multidimensional risk model with some arbitrary dependence structures
- Moderate deviations for multidimensional aggregate claims with arbitrary dependence between claim sizes and waiting times
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