Large deviations for generalized compound Poisson risk models and its bankruptcy moments

zbMath1065.60024MaRDI QIDQ1777552

Hu, Yijun

Publication date: 23 May 2005

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

large deviationsruin probability(generalized) compound Poisson risk model

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Precise local large deviations for heavy-tailed random sums with applications to risk models ⋮ Precise large deviations for a customer-based individual risk model ⋮ Precise large deviations for random sums of END random variables with dominated variation ⋮ Power estimates for ruin probabilities ⋮ Precise large deviations for generalized dependent compound renewal risk model with consistent variation

Cites Work

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• Aspects of risk theory
• A contribution to large deviations for heavy-tailed random sums
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Large deviations for heavy-tailed random sums in compound renewal model

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