Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process

DOI10.1186/S13660-017-1364-5zbMath1362.60026OpenAlexW2606533994WikidataQ33592105 ScholiaQ33592105MaRDI QIDQ523905

Shihang Yu, Shuo Zhang, De-Hui Wang

Publication date: 24 April 2017

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-017-1364-5

zbMATH Keywords

stopping timelarge deviationsaggregate claimsdependent renewal risk model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10) Renewal theory (60K05)

Related Items (2)

Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times ⋮ Comment on the work of Zhang et al. ``Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process

Cites Work

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• On a risk model with dependence between interclaim arrivals and claim sizes
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Exponential Behavior in the Presence of Dependence in Risk Theory

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