Consider a two-dimensional renewal risk model,in which the claim sizes{Xk;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-...Consider a two-dimensional renewal risk model,in which the claim sizes{Xk;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-arrival times form a sequence of i.i.d.random pairs,with each pair obeying a dependence structure via the conditional distribution of the inter-arrival time given the subsequent claim size being large.Then a precise large-deviation formula of the aggregate amount of claims is obtained.展开更多
基金by the National Social Science Foundation of China(No.20BTJ050).
文摘Consider a two-dimensional renewal risk model,in which the claim sizes{Xk;k≥1}form a sequence of i.i.d.copies of a non-negative random vector whose two components are dependent.Suppose that the claim sizes and inter-arrival times form a sequence of i.i.d.random pairs,with each pair obeying a dependence structure via the conditional distribution of the inter-arrival time given the subsequent claim size being large.Then a precise large-deviation formula of the aggregate amount of claims is obtained.
