Moderate deviations for sums of dependent claims in a size-dependent renewal risk model

DOI10.1080/03610926.2015.1060338MaRDI QIDQ4976205zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

moderate deviationconsistent variationextended negative dependencesize-dependent renewal model

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• A property of the renewal counting process with application to the finite-time ruin probability
• Applied Probability and Queues
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Extremes on the discounted aggregate claims in a time dependent risk model
• Intermediate Regular and Π Variation
• Moderate deviations for a risk model based on the customer-arrival process
• Moderate deviations for random sums of heavy-tailed random variables
• Necessary and sufficient conditions for moderate deviations of dependent random variables with heavy tails
• 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.
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Subexponentiality of the product of independent random variables
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails

Cited in

(9)

• 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
• Moderate deviations for negatively associated random sums of heavy tailed random variables
• Web renewal counting processes and their applications in insurance
• Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals
• Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
• Option pricing in the moderate deviations regime
• Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
• Central limit theorem and moderate deviations principle for dependent risks

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