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- Publisher Website: 10.1016/j.insmatheco.2012.06.010
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Article: Precise large deviations of aggregate claims in a size-dependent renewal risk model
Title | Precise large deviations of aggregate claims in a size-dependent renewal risk model |
---|---|
Authors | |
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? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/172503 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chen, Y | en_US |
dc.contributor.author | Yuen, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:50Z | - |
dc.date.available | 2012-10-30T06:22:50Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2012, v. 51 n. 2, p. 457-461 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172503 | - |
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. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Aggregate Claims | en_US |
dc.subject | Consistent Variation | en_US |
dc.subject | Dependence | en_US |
dc.subject | Large Deviations | en_US |
dc.subject | Renewal Counting Process | en_US |
dc.title | Precise large deviations of aggregate claims in a size-dependent renewal risk model | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | en_US |
dc.identifier.authority | Yuen, KC=rp00836 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2012.06.010 | en_US |
dc.identifier.scopus | eid_2-s2.0-84864036733 | en_US |
dc.identifier.hkuros | 205211 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84864036733&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 51 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.spage | 457 | en_US |
dc.identifier.epage | 461 | en_US |
dc.identifier.eissn | 1873-5959 | - |
dc.identifier.isi | WOS:000309028900025 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Chen, Y=42261457500 | en_US |
dc.identifier.scopusauthorid | Yuen, KC=7202333703 | en_US |
dc.identifier.citeulike | 10862825 | - |
dc.identifier.issnl | 0167-6687 | - |