Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
From MaRDI portal
Publication:277256
DOI10.1016/J.SPL.2016.03.002zbMath1337.60033OpenAlexW2302292022MaRDI QIDQ277256
Menghao Xu, Ebenezer Fiifi Emire Atta Mills, Xin Mei Shen
Publication date: 4 May 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.03.002
Related Items (7)
Web renewal counting processes and their applications in insurance ⋮ Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure ⋮ Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times ⋮ Several properties of a nonstandard renewal counting process and their applications ⋮ Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model ⋮ Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times ⋮ Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals
Cites Work
- A large deviation result for aggregate claims with dependent claim occurrences
- Precise large deviation results for the total claim amount under subexponential claim sizes
- A property of the renewal counting process with application to the finite-time ruin probability
- Large deviations of heavy-tailed sums with applications in insurance
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Extremes on the discounted aggregate claims in a time dependent risk model
- On a risk model with dependence between interclaim arrivals and claim sizes
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- Precise large deviations for sums of random variables with consistently varying tails
- Exponential Behavior in the Presence of Dependence in Risk Theory
- Large deviations for heavy-tailed random sums in compound renewal model
This page was built for publication: Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
