Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times

2020 ◽  
Author(s):  
Yiqing Chen ◽  
Toby White ◽  
Kam Chuen Yuen
Keyword(s):  
Large Deviations ◽  
Waiting Times ◽  
Precise Large Deviations ◽  
Aggregate Claims

scholarly journals Precise Large Deviations of Aggregate Claims with Dominated Variation in Dependent Multi-Risk Models

2014 ◽  
Vol 2014 ◽  
pp. 1-9 ◽  
Author(s):  
Shijie Wang ◽  
Xuejun Wang ◽  
Wensheng Wang
Keyword(s):  
Large Deviations ◽  
Lower Bounds ◽  
Upper And Lower Bounds ◽  
Random Sums ◽  
Risk Models ◽  
Precise Large Deviations ◽  
Sums Of Random Variables ◽  
Dominated Variation ◽  
Random Array ◽  
Aggregate Claims

We consider a dependent multirisk model in insurance, where all the claims constitute a linearly extended negatively orthant dependent (LENOD) random array, and then upper and lower bounds for precise large deviations of nonrandom and random sums of random variables with dominated variation are investigated. The obtained results extend some related existing ones.

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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