Precise large deviations of aggregate claims in bidimensional risk model with dependence structures

Qingwu Gao, Wen Li and Linmin Kan

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 22, 8062-8075

Abstract: In this article, we consider a bidimensional risk model with strong asymptotic independence between marginal claims having consistent varying tails and study the asymptotics of precise large deviations of aggregate claims by allowing claim-size vectors and their inter-arrival times to be arbitrarily dependent. This study can provide novel insights into the various dependence structures imposed on the involved modeling components.

Date: 2024
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DOI: 10.1080/03610926.2023.2278430

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