Release Time:2019-03-13  Hits:

Indexed by: Journal Article

Date of Publication: 2018-12-01

Journal: APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B

Included Journals: Scopus、SCIE

Volume: 33

Issue: 4

Page Number: 491-502

ISSN: 1005-1031

Key Words: Precise large deviation; Size-dependent; Consistent variation; Multidimensional risk model; Renewal counting process

Abstract: Consider a multidimensional renewal risk model, in which the claim sizes {X-k, k 1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained.