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Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times

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  • Fu, Ke-Ang
  • Liu, Yang
  • Wang, Jiangfeng

Abstract

Consider a bidimensional risk model in which an insurer simultaneously confronts two types of claims sharing a common non-stationary arrival process, and the claim-sizes {X→k;k≥1} form a sequence of i.i.d. random vectors with nonnegative components being dependent on each other. Supposing that the univariate marginal distributions of the claim-size vectors have dominatedly varying tails, precise large deviations for the aggregate amount of claims are obtained, by allowing that the claim-size vectors and claim inter-arrival (waiting) times are arbitrarily dependent.

Suggested Citation

  • Fu, Ke-Ang & Liu, Yang & Wang, Jiangfeng, 2022. "Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times," Statistics & Probability Letters, Elsevier, vol. 184(C).
    • Handle: RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000025
    DOI: 10.1016/j.spl.2022.109365
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    References listed on IDEAS

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