Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151605 | Statistics & Probability Letters | 2016 | 8 Pages |
Abstract
This paper deals with a size-dependent renewal risk model in which claim sizes and inter-occurrence times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure described via the conditional distribution of the inter-occurrence time given the subsequent claim size being large. The impact of this dependence structure on the tail behavior of aggregated claims is investigated and then a precise large deviation formula for the aggregate amount of sub-exponential claims is obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xinmei Shen, Menghao Xu, Ebenezer Fiifi Emire Atta Mills,