Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model

Xinmei Shen, Menghao Xu and Ebenezer Fiifi Emire Atta Mills

Statistics & Probability Letters, 2016, vol. 114, issue C, 6-13

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.

Keywords: Renewal risk model; Size-dependent; Sub-exponential distribution; Large deviations (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715216000444
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:114:y:2016:i:c:p:6-13

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2016.03.002

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().