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Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals.
- Source :
-
Communications in Statistics: Theory & Methods . 2018, Vol. 47 Issue 3, p698-707. 10p. - Publication Year :
- 2018
-
Abstract
- Consider a risk model with claims of heavy tails for non stationary arrival processes that satisfy a large-deviation principle. Assume that the claim sizes and interarrival times form a sequence of random pairs, with each pair obeying a dependence structure via the conditional distribution of the interarrival time given the subsequent claim size being large, and then a precise large-deviation formula of the aggregate amount of claims is obtained. [ABSTRACT FROM PUBLISHER]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 47
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 126920369
- Full Text :
- https://doi.org/10.1080/03610926.2017.1310244