JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2014, Vol. 49 ›› Issue (2): 84-88.doi: 10.6040/j.issn.1671-9352.0.2013.348

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Precise large deviations of claim process in a time-dependent #br# compound renewal risk model

TANG Feng-qin1, BAI Jian-ming2   

  1. 1. School of Mathematics Sciences, Huaibei Normal University, Huaibei 235000, Anhui, China;
    2. School of Management, Lanzhou University, Lanzhou 730000, Gansu, China
  • Received:2013-07-15 Online:2014-02-20 Published:2014-06-04

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Abstract:

The precise large deviations for a compound renewal risk process were considened. The claim sizes related to one accident are heavy-tailed distributed random variables with extend negatively upper orthant dependence (ENUOD) structure. The aggregate amount of claims and the inter-accident times correspondingly obeys a dependence structure.

Key words: large deviations, time-dependent, heavy-tailed distribution, risk model

CLC Number: 

  • O211
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