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

Hui Guo, Shijie Wang and Chuanwei Zhang

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 3, 1107-1116

Abstract: In this paper, we introduce a compound size-dependent renewal risk model driven by two sequences of random sources. The individual claim sizes and their inter-arrival times form a sequence of independent and identically distributed random pairs with each pair obeying a specific dependence structure. The numbers of claims caused by individual events form another sequence of independent and identically distributed positive integer-valued random variables, independent of the random pairs above. Precise large deviations of aggregate claims for the compound size-dependent renewal risk model are investigated in the case of dominatedly varying claim sizes.

Date: 2017
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DOI: 10.1080/03610926.2015.1010011

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