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A large deviation result for aggregate claims with dependent claim occurrences

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  • Kaas, Rob
  • Tang, Qihe

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  • Kaas, Rob & Tang, Qihe, 2005. "A large deviation result for aggregate claims with dependent claim occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 251-259, June.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:251-259
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    References listed on IDEAS

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    1. Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
    2. Cline, D. B. H. & Samorodnitsky, G., 1994. "Subexponentiality of the product of independent random variables," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 75-98, January.
    3. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    4. Schlegel, Sabine, 1998. "Ruin probabilities in perturbed risk models," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 93-104, May.
    5. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    6. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
    7. Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
    8. Denuit, Michel & Dhaene, Jan & Ribas, Carmen, 2001. "Does positive dependence between individual risks increase stop-loss premiums?," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 305-308, June.
    9. Tang, Qihe & Su, Chun & Jiang, Tao & Zhang, Jinsong, 2001. "Large deviations for heavy-tailed random sums in compound renewal model," Statistics & Probability Letters, Elsevier, vol. 52(1), pages 91-100, March.
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    Citations

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    Cited by:

    1. Robert, Christian Y. & Segers, Johan, 2008. "Tails of random sums of a heavy-tailed number of light-tailed terms," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 85-92, August.
    2. Shen, Xinmei & Xu, Menghao & Mills, Ebenezer Fiifi Emire Atta, 2016. "Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 6-13.
    3. Chen, Yiqing & White, Toby & Yuen, Kam Chuen, 2021. "Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 1-6.
    4. Fotis Loukissas, 2012. "Precise Large Deviations for Long-Tailed Distributions," Journal of Theoretical Probability, Springer, vol. 25(4), pages 913-924, December.
    5. Yiqing Chen & Kam C. Yuen & Kai W. Ng, 2011. "Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 821-833, December.
    6. Christian Y. Robert & Johan Segers, 2007. "Tails of random sums of a heavy-tailed number of light-tailed terms," Papers math/0703022, arXiv.org, revised Oct 2007.
    7. Gao, Qingwu & Lin, Jia’nan & Liu, Xijun, 2023. "Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times," Statistics & Probability Letters, Elsevier, vol. 197(C).
    8. Yuan, Meng & Lu, Dawei, 2022. "Precise large deviation for sums of sub-exponential claims with the m-dependent semi-Markov type structure," Statistics & Probability Letters, Elsevier, vol. 185(C).
    9. Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.
    10. Chen, Yiqing & Ng, Kai W., 2007. "The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 415-423, May.
    11. Yang Yang & Xinzhi Wang & Shaoying Chen, 2022. "Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1221-1236, June.

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