Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times

Ke-Ang Fu, Yang Liu and Jiangfeng Wang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 11, 4116-4126

Abstract: Consider a risk model in which the claims follow a non stationary arrival process that satisfies a large deviation principle. Supposing that the claim sizes form a sequence of i.i.d. random variables with subexponential tail, precise large deviations for the aggregate claims are obtained, by allowing the claim-sizes and claim inter-arrival (waiting) times to be arbitrarily dependent.

Date: 2024
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DOI: 10.1080/03610926.2023.2173974

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