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Indexed by:期刊论文

Date of Publication:2016-07-01

Journal:STATISTICS & PROBABILITY LETTERS

Included Journals:SCIE、SSCI

Volume:114

Page Number:6-13

ISSN No.:0167-7152

Key Words:Renewal risk model; Size-dependent; Sub-exponential distribution; Large deviations

Abstract:This paper deals with a size-dependent renewal risk model in which claim sizes and inter occurrence times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure described via the conditional distribution of the inter-occurrence time given the subsequent claim size being large. The impact of this dependence structure on the tail behavior of aggregated claims is investigated and then a precise large deviation formula for the aggregate amount of sub-exponential claims is obtained. (C) 2016 Elsevier B.V. All rights reserved.