Release Time:2019-03-10  Hits:

Indexed by: Journal Article

Date of Publication: 2016-07-01

Journal: STATISTICS & PROBABILITY LETTERS

Included Journals: SSCI、SCIE

Volume: 114

Page Number: 6-13

ISSN: 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.