Precise Large Deviations for Sums of Claim-size Vectors in a Two-dimensional Size-dependent Renewal Risk Model

• 作者: Ke-ang FU Xin-mei SHEN Hui-jie LI
• 来源期刊: 应用数学学报（英文版）
• 年，卷（期）: 2021,（3）
• 页码范围: 539-547
• 页数: 9页
• 语种: 英文

摘要

Consider a two-dimensional renewal risk model,in which the claim sizes{(X)k;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-arrival times form a sequence of i.i.d.random pairs,with each pair obeying a dependence structure via the conditional distribution of the inter-arrival time given the subsequent claim size being large.Then a precise large-deviation formula of the aggregate amount of claims is obtained.