Moderate deviations for sums of dependent claims in a size-dependent renewal risk model. Issue 7 (3rd April 2017)

• Record Type: Journal Article
• Authors: Fu, Ke-Ang; Shen, Xinmei
• Is Part Of: Communications in statistics. Volume 46:Issue 7(2017)
• Page Start: 3235
• Page End: 3243
• Publication Date: 2017-04-03
• Subjects: Consistent variation -- Extended negative dependence -- Moderate deviation -- Size-dependent renewal model; 62E20 -- 60F10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2015.1060338
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: In this article, we consider a non standard renewal risk model, in which pairs of claim sizes and its corresponding inter-arrival times are identically distributed, and each pair obeys a dependence structure. By assuming that the claim sizes form a sequence of extended negatively dependent random variables with consistently varying tails, moderate deviations for the aggregate amount of dependent claims are obtained.