Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times

Ke-Ang Fu and Jiangfeng Wang

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 17, 6266-6274

Abstract: Consider a risk model with consistently-varying-tailed claim sizes following a Hawkes-type arrival process. By allowing that the extended negatively dependent claim sizes and the claim inter-arrival (waiting) times are arbitrarily dependent, moderate deviation results for the aggregate amount of claims are obtained.

Date: 2023
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DOI: 10.1080/03610926.2022.2027451

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