Moderate- and large-deviation probabilities in actuarial risk theory

DOI10.2307/1427763zbMath0723.62063OpenAlexW2034817577MaRDI QIDQ3210744

Craig Hoesman, Eric V. Slud

Publication date: 1989

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427763

zbMATH Keywords

superpositioncollective risk theoryprobabilities of ruinstrong approximation resultslarge-deviation theoremactuarial risk-reserve processnon-Poisson claim-arrivalsnon-stationarity of the portfolio age-structuresuperposition of compound delayed-renewal processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Strong limit theorems (60F15) Large deviations (60F10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Large deviations results for subexponential tails, with applications to insurance risk

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