Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process

In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential...

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Detalles Bibliográficos
Autores principales: Zhang, Shuo, Wang, Dehui, Yu, Shihang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2017
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5400802/
https://www.ncbi.nlm.nih.gov/pubmed/28490848
http://dx.doi.org/10.1186/s13660-017-1364-5
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author Zhang, Shuo
Wang, Dehui
Yu, Shihang
author_facet Zhang, Shuo
Wang, Dehui
Yu, Shihang
author_sort Zhang, Shuo
collection PubMed
description In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential heavy-tailed case, we obtain a precise large-deviation formula; our method substantially relies on a martingale for the structure of our models.
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spelling pubmed-54008022017-05-08 Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process Zhang, Shuo Wang, Dehui Yu, Shihang J Inequal Appl Research In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential heavy-tailed case, we obtain a precise large-deviation formula; our method substantially relies on a martingale for the structure of our models. Springer International Publishing 2017-04-21 2017 /pmc/articles/PMC5400802/ /pubmed/28490848 http://dx.doi.org/10.1186/s13660-017-1364-5 Text en © The Author(s) 2017 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Zhang, Shuo
Wang, Dehui
Yu, Shihang
Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
title Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
title_full Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
title_fullStr Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
title_full_unstemmed Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
title_short Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
title_sort precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
topic Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5400802/
https://www.ncbi.nlm.nih.gov/pubmed/28490848
http://dx.doi.org/10.1186/s13660-017-1364-5
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AT wangdehui preciselargedeviationsofaggregateclaimsinasizedependentrenewalriskmodelwithstoppingtimeclaimnumberprocess
AT yushihang preciselargedeviationsofaggregateclaimsinasizedependentrenewalriskmodelwithstoppingtimeclaimnumberprocess

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