Estimations for aggregate amount of claims in a risk model with arbitrary dependence between claim sizes and inter-arrival times

Estimations for aggregate amount of claims in a risk model with arbitrary dependence between claim sizes and inter-arrival times

This paper considers a compound risk model, in which the individual claim sizes and their inter-arrival times can be arbitrarily dependent. We mainly investigate the claim sizes are extended negatively dependent. When the claim sizes have consistently-varying-tailed distributions, we obtain precise...

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Bibliographic Details
Main Authors: Weiwei Ni, Chenghao Xu, Kaiyong Wang
Format: Article
Language:English
Published: AIMS Press 2022-08-01
Series:AIMS Mathematics
Subjects:
precise large deviations
compound sums
extended negative dependence
consistently varying distribution
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2022976?viewType=HTML

Internet

https://www.aimspress.com/article/doi/10.3934/math.2022976?viewType=HTML

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