Asymptotic bounds for precise large deviations in a compound risk model under dependence structures

DOI10.7153/JMI-2020-14-69zbMath1466.60058OpenAlexW3115698715MaRDI QIDQ5858265

Qingwu Gao, Chunhong Chai, Xijun Liu

Publication date: 12 April 2021

Published in: Journal of Mathematical Inequalities (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/jmi-2020-14-69

zbMATH Keywords

asymptoticsdependence structurecompound risk modelprecise large deviation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Credit risk (91G40)

Related Items (2)

Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments ⋮ Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times

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