Scholarlink

<p>Consider a nonstandard multidimensional risk model in whichthe claim sizes from all lines of businesses, sharing a common claim-arrival renewalprocess, constitute a sequence of independent and identically distributednonnegative random vectors, the common inter-arrival times are assumed to bearbitrarily dependent and the dependence between claim size vectors and theirwaiting times are also allowed to be arbitrary. Moreover, the claim sizes fromdifferent lines of businesses are supposed to be extended negatively dependent.Under some mild conditions, this paper achieves some vector-type precise largedeviation formulae for aggregate claims of such multidimensional risk model in thepresence of dominatedly-varying claim sizes. The obtained results extend someexisting ones in the literature.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Vector-type precise large deviations for a nonstandard multidimensional risk model with some arbitrary dependence structures

  • 期刊论文

  • 发表日期：

    2025年1月20日

查看全文
  • B. Geng,
  • S. Wang,
  • W. Zhu

摘要

Consider a nonstandard multidimensional risk model in whichthe claim sizes from all lines of businesses, sharing a common claim-arrival renewalprocess, constitute a sequence of independent and identically distributednonnegative random vectors, the common inter-arrival times are assumed to bearbitrarily dependent and the dependence between claim size vectors and theirwaiting times are also allowed to be arbitrary. Moreover, the claim sizes fromdifferent lines of businesses are supposed to be extended negatively dependent.Under some mild conditions, this paper achieves some vector-type precise largedeviation formulae for aggregate claims of such multidimensional risk model in thepresence of dominatedly-varying claim sizes. The obtained results extend someexisting ones in the literature.