Precise large deviations of aggregate loss process in a risk model based on the policy entrance process

DOI10.1216/RMJ-2015-45-6-2023zbMath1334.60033MaRDI QIDQ261675

Fengqin Tang, Jinyuan Chen, Zehui Li

Publication date: 24 March 2016

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.rmjm/1457960345

zbMATH Keywords

large deviationsaggregate loss processnon-homogeneous Poisson processrisk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Precise large deviations for the prospective-loss process
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• A new risk model based on policy entrance process and its weak convergence properties
• Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
• A contribution to the theory of large deviations for sums of independent random variables
• On Large Deviation Problems for Sums of Random Variables which are not Attracted to the Normal Law

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