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

Journal of inequalities and applications

Shuo Zhang¹ 

关键词: aggregate claims;    stopping time;    dependent renewal risk model;    precise large deviations;    60F10;    91B30;    60K05;   

DOI  :  10.1186/s13660-017-1364-5

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential heavy-tailed case, we obtain a precise large-deviation formula; our method substantially relies on a martingale for the structure of our models.

【 授权许可】

CC BY