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Indexed by:期刊论文
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.