This paper considers a compound risk model, in which the individual claim sizes and their inter-arrival times can be arbitrarily dependent. We mainly investigate the claim sizes are extended negatively dependent. When the claim sizes have consistently-varying-tailed distributions, we obtain precise large deviations of the aggregate amount of claims in the above dependent compound risk model.
Citation: Weiwei Ni, Chenghao Xu, Kaiyong Wang. Estimations for aggregate amount of claims in a risk model with arbitrary dependence between claim sizes and inter-arrival times[J]. AIMS Mathematics, 2022, 7(10): 17737-17746. doi: 10.3934/math.2022976
This paper considers a compound risk model, in which the individual claim sizes and their inter-arrival times can be arbitrarily dependent. We mainly investigate the claim sizes are extended negatively dependent. When the claim sizes have consistently-varying-tailed distributions, we obtain precise large deviations of the aggregate amount of claims in the above dependent compound risk model.
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