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Updated: Mar 2, 2026

An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number
Shuo Zhang1, Dehui Wang1, Shihang Yu2
1Institute of Mathematics, Jilin University, Changchun, 130012 China.
Abstract:
In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential heavy-tailed case, we obtain a precise large-deviation formula; our method substantially relies on a martingale for the structure of our models.
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