Precise large deviations for the total net loss process in compound risk model with dependence structures
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Consider a compound risk model with its claims arriving in clustering during severe accidents. In the presence of heavy tails on claim distribution and dependence structures among modeling components, we explore asymptotic estimations of precise large deviations of the net loss {process}, which is among the initial efforts to analyze insurance risk via large deviation results for the net loss process involving the insurer's income factor.
Abstract
Consider a compound risk model with its claims arriving in clustering during severe accidents. In the presence of heavy tails on claim distribution and dependence structures among modeling components, we explore asymptotic estimations of precise large deviations of the net loss {process}, which is among the initial efforts to analyze insurance risk via large deviation results for the net loss process involving the insurer's income factor.