Precise Large Deviations for Subexponential Distributions in a Multi Risk Model
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Yang Yang & Liwei Sha, 2016. "Precise large deviations for aggregate claims," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(10), pages 2801-2809, May.
- 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.
- 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.
- Predrag R. Jelenković & Petar Momčilović, 2004. "Large Deviations of Square Root Insensitive Random Sums," Mathematics of Operations Research, INFORMS, vol. 29(2), pages 398-406, May.
- Lu, Dawei, 2012. "Lower bounds of large deviation for sums of long-tailed claims in a multi-risk model," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1242-1250.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- He, Wei & Cheng, Dongya & Wang, Yuebao, 2013. "Asymptotic lower bounds of precise large deviations with nonnegative and dependent random variables," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 331-338.
- 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.
- 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.
- Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami, 2002. "Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 447-460, December.
- Chen, Yu & Zhang, Weiping, 2007. "Large deviations for random sums of negatively dependent random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(5), pages 530-538, March.
- Zhengyan Lin & Xinmei Shen, 2013. "Approximation of the Tail Probability of Dependent Random Sums Under Consistent Variation and Applications," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 165-186, March.
- Jiang, Tao & Cui, Sheng & Ming, Ruixing, 2015. "Large deviations for the stochastic present value of aggregate claims in the renewal risk model," Statistics & Probability Letters, Elsevier, vol. 101(C), pages 83-91.
- 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.
- Philip A. Ernst & Søren Asmussen & John J. Hasenbein, 2018. "Stability and busy periods in a multiclass queue with state-dependent arrival rates," Queueing Systems: Theory and Applications, Springer, vol. 90(3), pages 207-224, December.
- 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).
- Royi Jacobovic & Nikki Levering & Onno Boxma, 2023. "Externalities in the M/G/1 queue: LCFS-PR versus FCFS," Queueing Systems: Theory and Applications, Springer, vol. 104(3), pages 239-267, August.
- Wensheng Wang, 2017. "Large Deviations for Sums of Random Vectors Attracted to Operator Semi-Stable Laws," Journal of Theoretical Probability, Springer, vol. 30(1), pages 64-84, March.
- 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).
- Lu, Dawei, 2012. "Lower bounds of large deviation for sums of long-tailed claims in a multi-risk model," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1242-1250.
- 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.
- Liu, Yan, 2007. "Precise large deviations for negatively associated random variables with consistently varying tails," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 181-189, January.
- 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.
- 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).
- Leipus, Remigijus & Siaulys, Jonas, 2007. "Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 498-508, May.
- Bernackaitė, Emilija & Šiaulys, Jonas, 2015. "The exponential moment tail of inhomogeneous renewal process," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 9-15.
More about this item
Keywords
heavy tails; large deviations; multi-risk model;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:6:y:2018:i:2:p:27-:d:138252. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.