Precise large deviations of aggregate claims in a size-dependent renewal risk model

Yiqing Chen and Kam C. Yuen

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 457-461

Abstract: Consider a renewal risk model in which claim sizes and inter-arrival 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-arrival time given the subsequent claim size being large. We study large deviations of the aggregate amount of claims. For a heavy-tailed case, we obtain a precise large-deviation formula, which agrees with existing ones in the literature.

Keywords: IM10; IM11; Aggregate claims; Consistent variation; Dependence; Large deviations; Renewal counting process (search for similar items in EconPapers)
JEL-codes: C02 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:457-461

DOI: 10.1016/j.insmatheco.2012.06.010

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