带有WOD相依索赔及多重延迟索赔相依风险模型的总索赔的精致大偏差

Precise large deviations of aggregate claims in a size-dependent and delayed risk model with WOD claims

考虑一个索赔相依风险模型。在该模型中,索赔额与索赔到达间隔时间之间存在某种相依关系。当索赔额具有宽象限相依结构,并且索赔计数过程是一个延迟的计数过程时,对于重尾索赔的情况,得到了总索赔的精致大偏差。

This paper considers a size-dependent risk model.In this model there exists a dependence structure between the claim sizes and the inter-arrival times.When the claim sizes have a widely orthant dependent structure and the number process of claims is a delayed renewal counting process,the precise large deviations of aggregate claims have been obtained for the heavy-tailed claim sizes.