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Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times

Chen, YQ; White, T; Yuen, KC

Yuen, KC (corresponding author), Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 97 (): 1

Abstract

Consider a renewal risk model in which claim sizes and interarrival times correspondingly form a sequence of independent, identically distributed, and......

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