Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model

2016 ◽  
Vol 114 ◽  
pp. 6-13 ◽  
Author(s):  
Xinmei Shen ◽  
Menghao Xu ◽  
Ebenezer Fiifi Emire Atta Mills
Keyword(s):  
Risk Model ◽  
Large Deviation ◽  
Renewal Risk Model ◽  
Size Dependent ◽  
Precise Large Deviation ◽  
Renewal Risk

Precise Large Deviation of Claim Surplus Process in a Renewal Risk Model with Random Premium Income

2013 ◽  
Vol 850-851 ◽  
pp. 771-775
Author(s):  
Ying Hua Dong
Keyword(s):  
Risk Model ◽  
Large Deviation ◽  
Compound Poisson Process ◽  
Dependence Structure ◽  
Arrival Times ◽  
Renewal Risk Model ◽  
Surplus Process ◽  
Precise Large Deviation ◽  
Renewal Risk ◽  
Premium Income

In this paper, we consider a nonstandard renewal risk model in which claim sizes and corresponding inter-arrival times form a sequence of independent and identically distributed random pairs. Each pair satisfies a certain dependence structure. In addition, premium income is described by a compound Poisson process. When the distribution of claim sizes belongs to the consistent variation class, we obtain precise large deviation of claim surplus process.

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