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Indexed by:期刊论文

First Author:Fu, Ke-Ang

Correspondence Author:Fu, KA (reprint author), Zhejiang Gongshang Univ, Sch Math & Stat, Hangzhou 310018, Zhejiang, Peoples R China.

Co-author:Shen, Xinmei

Date of Publication:2017-04-03

Journal:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Included Journals:SCIE、EI、Scopus

Volume:46

Issue:7

Page Number:3235-3243

ISSN No.:0361-0926

Key Words:Consistent variation; Extended negative dependence; Moderate deviation; Size-dependent renewal model

Abstract:In this article, we consider a non standard renewal risk model, in which pairs of claim sizes and its corresponding inter-arrival times are identically distributed, and each pair obeys a dependence structure. By assuming that the claim sizes form a sequence of extended negatively dependent random variables with consistently varying tails, moderate deviations for the aggregate amount of dependent claims are obtained.