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Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals

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  • Ke-Ang Fu
  • Jie Li

Abstract

Consider a risk model with claims of heavy tails for non stationary arrival processes that satisfy a large-deviation principle. Assume that the claim sizes and interarrival times form a sequence of random pairs, with each pair obeying a dependence structure via the conditional distribution of the interarrival time given the subsequent claim size being large, and then a precise large-deviation formula of the aggregate amount of claims is obtained.

Suggested Citation

  • Ke-Ang Fu & Jie Li, 2018. "Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(3), pages 698-707, February.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:3:p:698-707
    DOI: 10.1080/03610926.2017.1310244
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