Abstract

Consider a risk model in which the claims follow a non stationary arrival process that satisfies a large deviation principle. Supposing that the claim sizes form a sequence of i.i.d. random variables with subexponential tail, precise large deviations for the aggregate claims are obtained, by allowing the claim-sizes and claim inter-arrival (waiting) times to be arbitrarily dependent.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.