Large deviations for sums of claims in a general renewal risk model with the regression dependent structure

Rong Li, Xiuchun Bi and Shuguang Zhang

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: The regression dependence is a practical dependent structure which provides a good mechanism to describe non-life insurance businesses, and further allows applications in various areas. In this paper, we investigate large deviations for random sums of extended negatively dependent random variables in the general renewal risk model with the regression size-dependent structure. For heavy-tailed distributions of consistently-varying tailed, we obtain the large deviation formulas.

Keywords: Large deviations; Regression dependence; Consistently-varying tailed; Renewal risk model (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2020.108857

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