Precise large deviations of a claim process in a time-dependent compound renewal risk model

DOI10.6040/J.ISSN.1671-9352.0.2013.348MaRDI QIDQ2923745zbMATH OpenOpenAlexFDO

Authors Fengqin Tang, Jianming Bai

Publication date 3 November 2014

Published in Journal of Shandong University. Natural Science (Search for Journal in Brave)

Full work available at URL http://lxbwk.njournal.sdu.edu.cn/CN/abstract/abstract2347.shtml

zbMATH Keywords

risk modellarge deviationstime-dependentheavy-tailed distribution

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
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