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Published on: November 26, 2019
Web renewal counting processes and their applications in insurance
Rong Li1, Xiuchun Bi1, Shuguang Zhang1
1Department of Statistics and Finance, University of Science and Technology of China, Hefei, China.
Abstract:
This paper investigates a nonstandard renewal counting process with dependent inter-arrival times-web renewal process. Several limit properties, including the tail of the exponential moment which is a crucial condition in many situations, are obtained. Then the results are applied in insurance to derive precise large deviations and moderate deviation formulas for the aggregate amount of claims.
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