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Research Article | Open Access

Estimations for aggregate amount of claims in a risk model with arbitrary dependence between claim sizes and inter-arrival times

Weiwei Ni, Chenghao Xu, Kaiyong Wang( )
School of Mathematical Sciences, Suzhou University of Science and Technology, Suzhou 215009, China
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Abstract

This paper considers a compound risk model, in which the individual claim sizes and their inter-arrival times can be arbitrarily dependent. We mainly investigate the claim sizes are extended negatively dependent. When the claim sizes have consistently-varying-tailed distributions, we obtain precise large deviations of the aggregate amount of claims in the above dependent compound risk model.

Keywords

precise large deviationscompound sumsextended negative dependenceconsistently varying distribution
CLC number: 60F10, 91B05, 91G05

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AIMS Mathematics
Volume 7 Issue 10,
October 2022
Pages 17737-17746
DOI: 10.3934/math.2022976

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Cite this article:
Ni W, Xu C, Wang K. Estimations for aggregate amount of claims in a risk model with arbitrary dependence between claim sizes and inter-arrival times. AIMS Mathematics, 2022, 7(10): 17737-17746. https://doi.org/10.3934/math.2022976

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Received: 31 May 2022
Revised: 21 July 2022
Accepted: 27 July 2022
Published: 15 October 2022
©2022 the Author(s), licensee AIMS Press.

This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0)