Precise Large Deviations for Sums of Claim-size Vectors in a Two-dimensional Size-dependent Renewal Risk Model

2021 ◽  
Vol 37 (3) ◽  
pp. 539-547
Author(s):  
Ke-ang Fu ◽  
Xin-mei Shen ◽  
Hui-jie Li
Keyword(s):  
Large Deviations ◽  
Risk Model ◽  
Claim Size ◽  
Two Dimensional ◽  
Precise Large Deviations ◽  
Renewal Risk Model ◽  
Size Dependent ◽  
Renewal Risk

scholarly journals Precise large deviations for the aggregate claims in a dependent compound renewal risk model

2019 ◽  
Vol 2019 (1) ◽  
Author(s):  
Kaiyong Wang ◽  
Lamei Chen
Keyword(s):  
Large Deviations ◽  
Risk Model ◽  
Tail Probability ◽  
Dependence Structure ◽  
Precise Large Deviations ◽  
Renewal Risk Model ◽  
Aggregate Claims ◽  
Renewal Risk ◽  
Distribution Class ◽  
Compound Renewal Risk Model

Abstract We consider a dependent compound renewal risk model, where the interarrival times of accidents and the claim numbers follow a dependence structure characterized by a conditional tail probability and the claim sizes have a pairwise negatively quadrant dependence structure or a related dependence structure with the upper tail asymptotical dependence structure. When the distributions of the claim sizes belong to the dominated variation distribution class, we give the asymptotic lower and upper bounds for the precise large deviations of the aggregate claims.

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