Large deviations for the stochastic present value of aggregate claims in the renewal risk model

DOI10.1016/J.SPL.2015.02.020MaRDI QIDQ893915zbMATH OpenOpenAlexFDO

Authors Tao Jiang, Sheng Cui, Ruixing Ming

Publication date 23 November 2015

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

Full work available at URL https://doi.org/10.1016/j.spl.2015.02.020

zbMATH Keywords

large deviationsregular variationrenewal risk modelaggregate claimsstochastic present valuegeometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Renewal theory (60K05)

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Cited in

(10)

• Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• An Asymptotic Result on Catastrophe Insurance Losses
• 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 risk processes with reinsurance
• Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
• 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
• Asymptotic bounds for precise large deviations in a compound risk model under dependence structures

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