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Precise large deviations of aggregate claims in bidimensional risk model with dependence structures

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  • Qingwu Gao
  • Wen Li
  • Linmin Kan

Abstract

In this article, we consider a bidimensional risk model with strong asymptotic independence between marginal claims having consistent varying tails and study the asymptotics of precise large deviations of aggregate claims by allowing claim-size vectors and their inter-arrival times to be arbitrarily dependent. This study can provide novel insights into the various dependence structures imposed on the involved modeling components.

Suggested Citation

  • Qingwu Gao & Wen Li & Linmin Kan, 2024. "Precise large deviations of aggregate claims in bidimensional risk model with dependence structures," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(22), pages 8062-8075, November.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:22:p:8062-8075
    DOI: 10.1080/03610926.2023.2278430
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