Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times

被引：0
|
作者：
Fu, Ke-Ang [1 ]
Liu, Yang [1 ]
Wang, Jiangfeng [2 ,3 ,4 ]
机构：
[1] Hangzhou City Univ, Dept Stat & Data Sci, Hangzhou, Peoples R China
[2] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou, Peoples R China
[3] Zhejiang Gongshang Univ, Collaborat Innovat Ctr Stat Data Engn Technol & Ap, Hangzhou, Peoples R China
[4] Zhejiang Gongshang Univ, Collaborat Innovat Ctr Stat Data Engn Technol & Ap, Hangzhou 310018, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2024年 / 53卷 / 11期
关键词：
Arbitrary dependence; Cox process; Hawkes process; precise large deviation; subexponential distribution; TAILED RANDOM SUMS; AGGREGATE CLAIMS; BEHAVIOR; PROBABILITIES;
D O I：
10.1080/03610926.2023.2173974
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Consider a risk model in which the claims follow a non stationary arrival process that satisfies a large deviation principle. Supposing that the claim sizes form a sequence of i.i.d. random variables with subexponential tail, precise large deviations for the aggregate claims are obtained, by allowing the claim-sizes and claim inter-arrival (waiting) times to be arbitrarily dependent.
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页码：4116 / 4126
页数：11
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