Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals

Ke-Ang Fu and Jie Li

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 3, 698-707

Abstract: Consider a risk model with claims of heavy tails for non stationary arrival processes that satisfy a large-deviation principle. Assume that the claim sizes and interarrival times form a sequence of random pairs, with each pair obeying a dependence structure via the conditional distribution of the interarrival time given the subsequent claim size being large, and then a precise large-deviation formula of the aggregate amount of claims is obtained.

Date: 2018
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DOI: 10.1080/03610926.2017.1310244

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