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

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  • Ke-Ang Fu
  • Jiangfeng Wang

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.

Suggested Citation

  • Ke-Ang Fu & Jiangfeng Wang, 2023. "Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(17), pages 6266-6274, September.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:17:p:6266-6274
    DOI: 10.1080/03610926.2022.2027451
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