Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
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Publication:2657010
DOI10.1016/J.INSMATHECO.2020.12.003zbMath1460.91215OpenAlexW3114983986MaRDI QIDQ2657010
Toby White, Yiqing Chen, Kam-Chuen Yuen
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.12.003
Sums of independent random variables; random walks (60G50) Large deviations (60F10) Renewal theory (60K05) Actuarial mathematics (91G05)
Related Items (6)
Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure ⋮ Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times ⋮ Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times ⋮ Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times ⋮ Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times ⋮ Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times
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Cites Work
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