Precise large deviations of aggregate claim amount in a dependent renewal risk model
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Publication:2978999
DOI10.1080/03610926.2015.1044666zbMath1360.60063OpenAlexW2313842409MaRDI QIDQ2978999
Xijun Liu, Qingwu Gao, Chang Jun Yu
Publication date: 2 May 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2015.1044666
Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)
Related Items (8)
Web renewal counting processes and their applications in insurance ⋮ Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims ⋮ Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force ⋮ Several properties of a nonstandard renewal counting process and their applications ⋮ Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times ⋮ Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables ⋮ Asymptotic bounds for precise large deviations in a compound risk model under dependence structures
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