Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims

Authors:	Xijun Liu Ming Liu

Institution:	1. Aviation Maintenance NCO Academy, Air Force Engineering University, Xinyang, China;2. Department of Basics, Huangpi NOC School, Air Force Early Warning Academy, Wuhan, China

Abstract:	Abstract Recently, Jiang et al. (Statist. Probab. Lett. 101, 83–91) obtained the asymptotic formulas for the large deviations for the stochastic present value of aggregate claims in the renewal risk model with Pareto-type claims and stochastic return on investments, where the price process of the investment portfolio is described as a geometric Lévy process. In the paper, we extend the above results to a nonstandard compound renewal risk model with widely upper orthant dependent and dominatedly-varying-tailed claims.

Keywords:	Asymptotics Large deviation Compound renewal model Widely upper orthant dependence Dominated variation