Article: Precise large deviations of aggregate claims in a size-dependent renewal risk model

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Publisher Website: 10.1016/j.insmatheco.2012.06.010
Scopus: eid_2-s2.0-84864036733

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Title	Precise large deviations of aggregate claims in a size-dependent renewal risk model
Authors	Chen, Y1 Yuen, KC2
Keywords	Aggregate Claims Consistent Variation Dependence Large Deviations Renewal Counting Process
Issue Date	2012
Publisher	Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation	Insurance: Mathematics And Economics, 2012, v. 51 n. 2, p. 457-461 [How to Cite?] DOI: http://dx.doi.org/10.1016/j.insmatheco.2012.06.010
Abstract	Consider a renewal risk model in which claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure described via the conditional distribution of the inter-arrival time given the subsequent claim size being large. We study large deviations of the aggregate amount of claims. For a heavy-tailed case, we obtain a precise large-deviation formula, which agrees with existing ones in the literature. © 2012 Elsevier B.V.
ISSN	0167-6687 2011 Impact Factor: 1.288 2011 SCImago Journal Rankings: 0.048
DOI	http://dx.doi.org/10.1016/j.insmatheco.2012.06.010
References	References in Scopus

DC Field	Value
dc.contributor.author	Chen, Y
dc.contributor.author	Yuen, KC
dc.date.accessioned	2012-10-30T06:22:50Z
dc.date.available	2012-10-30T06:22:50Z
dc.date.issued	2012
dc.description.abstract	Consider a renewal risk model in which claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure described via the conditional distribution of the inter-arrival time given the subsequent claim size being large. We study large deviations of the aggregate amount of claims. For a heavy-tailed case, we obtain a precise large-deviation formula, which agrees with existing ones in the literature. © 2012 Elsevier B.V.
dc.description.nature	Link_to_subscribed_fulltext
dc.identifier.citation	Insurance: Mathematics And Economics, 2012, v. 51 n. 2, p. 457-461 [How to Cite?] DOI: http://dx.doi.org/10.1016/j.insmatheco.2012.06.010
dc.identifier.citeulike	10862825
dc.identifier.doi	http://dx.doi.org/10.1016/j.insmatheco.2012.06.010
dc.identifier.epage	461
dc.identifier.hkuros	205211
dc.identifier.issn	0167-6687 2011 Impact Factor: 1.288 2011 SCImago Journal Rankings: 0.048
dc.identifier.issue	2
dc.identifier.scopus	eid_2-s2.0-84864036733
dc.identifier.spage	457
dc.identifier.uri	http://hdl.handle.net/10722/172503
dc.identifier.volume	51
dc.language	eng
dc.publisher	Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
dc.publisher.place	Netherlands
dc.relation.ispartof	Insurance: Mathematics and Economics
dc.relation.references	References in Scopus
dc.subject	Aggregate Claims
dc.subject	Consistent Variation
dc.subject	Dependence
dc.subject	Large Deviations
dc.subject	Renewal Counting Process
dc.title	Precise large deviations of aggregate claims in a size-dependent renewal risk model
dc.type	Article

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Author Affiliations

University of Liverpool
The University of Hong Kong

Article: Precise large deviations of aggregate claims in a size-dependent renewal risk model

The HKU Scholars Hub has contact details for these author(s).