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Research Article | Open Access

Precise large deviations of aggregate claims in a nonstandard risk model with arbitrary dependence between claim sizes and waiting times

Qingwu Gao( ), Wenlei Pan
School of Statistics and Data Science, Nanjing Audit University, Nanjing, China
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Abstract

Recently, Chen et al.[3] investigated the precise large deviations of aggregate claims in a renewal risk model with arbitrary dependence between claim sizes and their waiting times. In this paper, we extend their results to a nonstandard risk model in which various dependence structures are imposed on the modeling components, and obtain the asymptotic lower and upper bounds of precise large deviations for aggregate claims, which hold uniformly for all x in a t-interval.

Keywords

asymptoticsprecise large deviationsdependenceconsistent variationaggregate claims
CLC number: Primary 60F10; Secondary 62P05, 91B30

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AIMS Mathematics
Volume 8 Issue 1,
January 2023
Pages 2191-2200
DOI: 10.3934/math.2023113

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Cite this article:
Gao Q, Pan W. Precise large deviations of aggregate claims in a nonstandard risk model with arbitrary dependence between claim sizes and waiting times. AIMS Mathematics, 2023, 8(1): 2191-2200. https://doi.org/10.3934/math.2023113

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Received: 01 August 2022
Revised: 30 September 2022
Accepted: 09 October 2022
Published: 15 January 2023
©2023 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)