Precise large deviations for aggregate claims in a two-dimensional compound dependent risk model

Abstract

This paper considers a two-dimensional compound risk model. We mainly investigate the claim sizes and inter-arrival times are size-dependent. When the claim sizes have consistently varying tails, we obtain the precise large deviations for aggregate amount of claims in the above dependent compound risk model.

Keywords

• precise large deviations
• two-dimensional compound risk model
• size-dependence
• consistently varying distribution