Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process

Abstract

In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential heavy-tailed case, we obtain a precise large-deviation formula; our method substantially relies on a martingale for the structure of our models.