Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times

DOI10.1016/J.SPL.2023.109809MaRDI QIDQ6165364zbMATH OpenOpenAlexFDO

Authors Qingwu Gao, Jianan Lin, Xijun Liu

Publication date 4 July 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2023.109809

zbMATH Keywords

arbitrary dependenceasymptoticscompound risk modelconsistent variationlarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Recommendations

• 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 the aggregate claims in a dependent compound renewal risk model
• Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
• Precise large deviations of aggregate claim amount in a dependent renewal risk model
• Precise large deviations of a claim process in a time-dependent compound renewal risk model

Cites work

• A large deviation result for aggregate claims with dependent claim occurrences
• A note on a dependent risk model with constant interest rate
• Asymptotic bounds for precise large deviations in a compound risk model under dependence structures
• Asymptotic lower bounds of precise large deviations with nonnegative and dependent random variables
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Basic renewal theorems for random walks with widely dependent increments
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Large deviations for heavy-tailed random sums in compound renewal model
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
• Large deviations for the stochastic present value of aggregate claims in the renewal risk model
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Large deviations of heavy-tailed sums with applications in insurance
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
• Precise large deviations for consistently varying-tailed distributions in the compound renewal risk model
• Precise large deviations for dependent random variables with applications to the compound renewal risk model
• Precise large deviations for sums of independent random variables with consistently varying tails
• Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Precise large deviations of aggregate claim amount in a dependent renewal risk model
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

Cited in

(11)

• Precise large deviations of aggregate claims with arbitrary dependence between claim sizes 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
• scientific article; zbMATH DE number 1475713 (Why is no real title available?)
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force
• scientific article; zbMATH DE number 7266415 (Why is no real title available?)
• Asymptotic bounds for precise large deviations in a compound risk model under dependence structures
• 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
• A large deviation result for aggregate claims with dependent claim occurrences

This page was built for publication: Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6165364)