Moderate deviations for sums of dependent claims in a size-dependent renewal risk model
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Publication:4976205
DOI10.1080/03610926.2015.1060338zbMATH Open1368.62035OpenAlexW2336702914MaRDI QIDQ4976205FDOQ4976205
Authors: Ke-Ang Fu, Xinmei Shen 
Publication date: 27 July 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2015.1060338
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Cites Work
- Applied Probability and Queues
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- Extremes on the discounted aggregate claims in a time dependent risk model
- Necessary and sufficient conditions for moderate deviations of dependent random variables with heavy tails
- A property of the renewal counting process with application to the finite-time ruin probability
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- 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
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Subexponentiality of the product of independent random variables
- Intermediate Regular and Π Variation
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
- Moderate deviations for random sums of heavy-tailed random variables
- Moderate deviations for a risk model based on the customer-arrival process
Cited In (9)
- Web renewal counting processes and their applications in insurance
- Option pricing in the moderate deviations regime
- Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
- Moderate deviations for negatively associated random sums of heavy tailed random variables
- Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
- Several properties of a nonstandard renewal counting process and their applications
- Central limit theorem and moderate deviations principle for dependent risks
- Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
- Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals
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