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.
引用
收藏
页码：4116 / 4126
页数：11
相关论文
共 38 条
  • [31] Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
    Shuo Zhang
    Dehui Wang
    Shihang Yu
    Journal of Inequalities and Applications, 2017
  • [32] Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
    Zhang, Shuo
    Wang, Dehui
    Yu, Shihang
    JOURNAL OF INEQUALITIES AND APPLICATIONS, 2017,
  • [33] Precise Large Deviations for Sums of Claim-size Vectors in a Two-dimensional Size-dependent Renewal Risk Model
    Ke-ang FU
    Xin-mei SHEN
    Hui-jie LI
    Acta Mathematicae Applicatae Sinica, 2021, 37 (03) : 539 - 547
  • [34] Precise Large Deviations for Sums of Claim-size Vectors in a Two-dimensional Size-dependent Renewal Risk Model
    Fu, Ke-ang
    Shen, Xin-mei
    Li, Hui-jie
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2021, 37 (03): : 539 - 547
  • [35] Precise Large Deviations for Sums of Claim-size Vectors in a Two-dimensional Size-dependent Renewal Risk Model
    Ke-ang Fu
    Xin-mei Shen
    Hui-jie Li
    Acta Mathematicae Applicatae Sinica, English Series, 2021, 37 : 539 - 547
  • [36] Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times
    J. Wang
    J. Yan
    Y. Yang
    Acta Mathematica Hungarica, 2023, 169 : 301 - 311
  • [37] Precise large deviations for aggregate claims in a multidimensional risk model with arbitrarily dependent claims and accident-arriving times
    Wang, J.
    Yan, J.
    Yang, Y.
    ACTA MATHEMATICA HUNGARICA, 2023, 169 (01) : 301 - 311
  • [38] Precise large deviations of the net loss process in a non-standard two-dimensional risk model
    Gao, Qingwu
    Dong, Zimai
    Liu, Xijun
    Yan, Junni
    PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2024,
1234