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Research Article | Open Access

Precise large deviations for aggregate claims in a two-dimensional compound dependent risk model

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

This paper considers a two-dimensional compound risk model. We mainly investigate the claim sizes and inter-arrival times are size-dependent. When the claim sizes have consistently varying tails, we obtain the precise large deviations for aggregate amount of claims in the above dependent compound risk model.

Keywords

precise large deviationstwo-dimensional compound risk modelsize-dependenceconsistently varying distribution
CLC number: 60F10, 91B05, 91G05

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AIMS Mathematics
Volume 8 Issue 4,
April 2023
Pages 9106-9117
DOI: 10.3934/math.2023456

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Ni W, Wang K. Precise large deviations for aggregate claims in a two-dimensional compound dependent risk model. AIMS Mathematics, 2023, 8(4): 9106-9117. https://doi.org/10.3934/math.2023456

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Received: 24 December 2022
Revised: 23 January 2023
Accepted: 02 February 2023
Published: 15 April 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)