带有不同分布索赔且索赔与索赔来到时间间隔任意相依的风险模型的总索赔的精致大偏差

Precise large deviations of aggregate claims of risk models with different distributed claims and arbitrary dependence between claims and inter-arrival times

考虑了一个一般的更新风险模型,其中索赔额与对应的索赔来到时间间隔可以是任意相依的,且索赔额可以有不同分布。在此风险模型中,当索赔额为重尾且尾部一致变化时,论文给出了总索赔的精致大偏差。所得的结果推广和改进了相应的结果。

This paper considers a general renewal risk model,in which the claim sizes and the corresponding inter-arrival times are arbitrarily dependent and the claim sizes have different distributions.For this risk model,when the claim sizes are heavy-tailed and have consistently varying tails,the paper gives the precise large deviations of the aggregate claims.The obtained result has extended and improved some related results.