Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process

DOI10.1186/S13660-016-1080-6zbMath1338.60088OpenAlexW2406567777WikidataQ59467567 ScholiaQ59467567MaRDI QIDQ289963

Shihang Yu

Publication date: 1 June 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-016-1080-6

zbMATH Keywords

large deviationsmoderate deviationsdiscrete-time risk modelPoisson ARCH process

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Large deviations of heavy-tailed random sums with applications in insurance and finance
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