Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims

Xijun Liu, Qingwu Gao and Ming Liu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 13, 3073-3093

Abstract: Recently, Jiang et al. (Statist. Probab. Lett. 101, 83–91) obtained the asymptotic formulas for the large deviations for the stochastic present value of aggregate claims in the renewal risk model with Pareto-type claims and stochastic return on investments, where the price process of the investment portfolio is described as a geometric Lévy process. In the paper, we extend the above results to a nonstandard compound renewal risk model with widely upper orthant dependent and dominatedly-varying-tailed claims.

Date: 2020
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DOI: 10.1080/03610926.2019.1586931

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