Release Time:2019-03-12  Hits:

Indexed by: Journal Article

Date of Publication: 2017-04-03

Journal: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Included Journals: Scopus、EI、SCIE

Volume: 46

Issue: 7

Page Number: 3235-3243

ISSN: 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.