Precise large deviation results for the total claim amount under subexponential claim sizes

DOI10.1016/j.spl.2007.11.016zbMath1145.60018OpenAlexW1969865602MaRDI QIDQ935826

Jonas Šiaulys, Remigijus Leipus, Aleksandras Baltrūnas

Publication date: 8 August 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.11.016

zbMATH Keywords

renewal risk modelsubexponential claim sizes

Mathematics Subject Classification ID

Related Items (23)

Precise large deviations for sums of random vectors with dependent components of consistently varying tails ⋮ Web renewal counting processes and their applications in insurance ⋮ Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model ⋮ Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims ⋮ Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure ⋮ Elementary renewal theorems for widely dependent random variables with applications to precise large deviations ⋮ Precise large deviations for compound random sums in the presence of dependence structures ⋮ Several properties of a nonstandard renewal counting process and their applications ⋮ Large deviations for random sums of differences between two sequences of random variables with applications to risk theory ⋮ Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model ⋮ Extended precise large deviations of random sums in the presence of END structure and consistent variation ⋮ Precise large deviations for a customer-based individual risk model ⋮ Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times ⋮ Precise large deviations of random sums in presence of negative dependence and consistent variation ⋮ Precise large deviations of aggregate claims in a risk model with regression-type size-dependence ⋮ Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model ⋮ Precise large deviations of aggregate claim amount in a dependent renewal risk model ⋮ Precise large deviations of aggregate claims in a size-dependent renewal risk model ⋮ Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals ⋮ Asymptotic behaviour of the finite-time ruin probability in renewal risk models ⋮ Precise large deviations for sums of claim-size vectors in a two-dimensional size-dependent renewal risk model ⋮ Precise large deviations for aggregate claims ⋮ A property of the renewal counting process with application to the finite-time ruin probability

Cites Work

• Unnamed Item
• Second order behaviour of ruin probabilities in the case of large claims
• Large deviations of heavy-tailed sums with applications in insurance
• Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
• 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
• Large deviations for heavy-tailed random sums in compound renewal model

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