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Article: Precise large deviations of aggregate claims in a size-dependent renewal risk model
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TitlePrecise large deviations of aggregate claims in a size-dependent renewal risk model
 
AuthorsChen, Y1
Yuen, KC2
 
KeywordsAggregate Claims
Consistent Variation
Dependence
Large Deviations
Renewal Counting Process
 
Issue Date2012
 
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
 
CitationInsurance: 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
 
AbstractConsider 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.
 
ISSN0167-6687
2013 SCImago Journal Rankings: 1.175
 
DOIhttp://dx.doi.org/10.1016/j.insmatheco.2012.06.010
 
ISI Accession Number IDWOS:000309028900025
 
ReferencesReferences in Scopus
 
DC FieldValue
dc.contributor.authorChen, Y
 
dc.contributor.authorYuen, KC
 
dc.date.accessioned2012-10-30T06:22:50Z
 
dc.date.available2012-10-30T06:22:50Z
 
dc.date.issued2012
 
dc.description.abstractConsider 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.naturelink_to_subscribed_fulltext
 
dc.identifier.citationInsurance: 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.citeulike10862825
 
dc.identifier.doihttp://dx.doi.org/10.1016/j.insmatheco.2012.06.010
 
dc.identifier.eissn1873-5959
 
dc.identifier.epage461
 
dc.identifier.hkuros205211
 
dc.identifier.isiWOS:000309028900025
 
dc.identifier.issn0167-6687
2013 SCImago Journal Rankings: 1.175
 
dc.identifier.issue2
 
dc.identifier.scopuseid_2-s2.0-84864036733
 
dc.identifier.spage457
 
dc.identifier.urihttp://hdl.handle.net/10722/172503
 
dc.identifier.volume51
 
dc.languageeng
 
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
 
dc.publisher.placeNetherlands
 
dc.relation.ispartofInsurance: Mathematics and Economics
 
dc.relation.referencesReferences in Scopus
 
dc.subjectAggregate Claims
 
dc.subjectConsistent Variation
 
dc.subjectDependence
 
dc.subjectLarge Deviations
 
dc.subjectRenewal Counting Process
 
dc.titlePrecise large deviations of aggregate claims in a size-dependent renewal risk model
 
dc.typeArticle
 
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Author Affiliations
  1. University of Liverpool
  2. The University of Hong Kong