Moderate deviations for multidimensional aggregate claims with arbitrary dependence between claim sizes and waiting times

Xinmei Shen and Lei Liu

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 10, 3076-3093

Abstract: Consider a multidimensional renewal risk model, in which the claim sizes Xk,k≥1, form a sequence of independent and identically distributed random vectors with non negative components allowed to be dependent on each other, and the inter-arrival times form a sequence of p-extended negatively dependent random variables. By allowing arbitrary dependence between claim sizes and waiting times, we obtain the moderate deviations for the multidimensional aggregate claims with consistently varying tails.

Date: 2025
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DOI: 10.1080/03610926.2024.2384555

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