Precise large deviations of aggregate claims in a nonstandard risk model with arbitrary dependence between claim sizes and waiting times

AIMS Mathematics

article

Qingwu Gao¹  Wenlei Pan¹ 

[1] School of Statistics and Data Science, Nanjing Audit University

关键词: asymptotics;    precise large deviations;    dependence;    consistent variation;    aggregate claims;   

DOI  :  10.3934/math.2023113

学科分类：地球科学(综合)

来源: AIMS Press

【 摘 要 】

Recently, Chen et al. [ 3 ] investigated the precise large deviations of aggregate claims in a renewal risk model with arbitrary dependence between claim sizes and their waiting times. In this paper, we extend their results to a nonstandard risk model in which various dependence structures are imposed on the modeling components, and obtain the asymptotic lower and upper bounds of precise large deviations for aggregate claims, which hold uniformly for all $ x $ in a $ t $-interval.

【 授权许可】

CC BY