Large deviations for sums of claims in a general renewal risk model with the regression dependent structure

The regression dependence is a practical dependent structure which provides a good mechanism to describe non-life insurance businesses, and further allows applications in various areas. In this paper, we investigate large deviations for random sums of extended negatively dependent random variables i...

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Published in:Statistics & probability letters 2020-10, Vol.165, p.108857, Article 108857
Main Authors: Li, Rong, Bi, Xiuchun, Zhang, Shuguang
Format: Article
Language:English
Subjects:
Consistently-varying tailed
Large deviations
Regression dependence
Renewal risk model
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description The regression dependence is a practical dependent structure which provides a good mechanism to describe non-life insurance businesses, and further allows applications in various areas. In this paper, we investigate large deviations for random sums of extended negatively dependent random variables in the general renewal risk model with the regression size-dependent structure. For heavy-tailed distributions of consistently-varying tailed, we obtain the large deviation formulas.
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source ScienceDirect Freedom Collection 2022-2024; Backfile Package - Mathematics (Legacy) [YMT]; Backfile Package - Decision Sciences [YDT]
subjects Consistently-varying tailed
Large deviations
Regression dependence
Renewal risk model
title Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
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