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Moderate deviations for multidimensional aggregate claims with arbitrary dependence between claim sizes and waiting times

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  • Xinmei Shen
  • Lei Liu

Abstract

Consider a multidimensional renewal risk model, in which the claim sizes Xk,k≥1, form a sequence of independent and identically distributed random vectors with non negative components allowed to be dependent on each other, and the inter-arrival times form a sequence of p-extended negatively dependent random variables. By allowing arbitrary dependence between claim sizes and waiting times, we obtain the moderate deviations for the multidimensional aggregate claims with consistently varying tails.

Suggested Citation

  • Xinmei Shen & Lei Liu, 2025. "Moderate deviations for multidimensional aggregate claims with arbitrary dependence between claim sizes and waiting times," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 54(10), pages 3076-3093, May.
    • Handle: RePEc:taf:lstaxx:v:54:y:2025:i:10:p:3076-3093
    DOI: 10.1080/03610926.2024.2384555
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