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Precise large deviations for aggregate claims

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  • Yang Yang
  • Liwei Sha

Abstract

In this article, we consider a non standard renewal risk model, in which the claim sizes form a sequence of independent and identically distributed random variables; the inter-arrival times are negatively associated; and each pair of the claim size and its inter-arrival time follows negative association or arbitrary dependence structure. We establish some precise large-deviation formulas for the aggregate amount of claims in the heavy-tailed case.

Suggested Citation

  • 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.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:10:p:2801-2809
    DOI: 10.1080/03610926.2014.887111
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    Cited by:

    1. Dimitrios G. Konstantinides, 2018. "Precise Large Deviations for Subexponential Distributions in a Multi Risk Model," Risks, MDPI, vol. 6(2), pages 1-13, March.

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