Large deviations for risk processes with reinsurance

DOI10.1239/jap/1158784941zbMath1126.60024OpenAlexW1975012142MaRDI QIDQ5754682

Claudio Macci, Gabriele Stabile

Publication date: 23 August 2007

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

Full work available at URL: https://doi.org/10.1239/jap/1158784941

zbMATH Keywords

large deviationsrisk processruin probabilityMarkov modulated risk modelreinsuranceLundberg estimate

Mathematics Subject Classification ID

Related Items (7)

Precise deviations for Cox processes with a shot noise intensity ⋮ On the functional and local limit theorems for Markov modulated compound Poisson processes ⋮ Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity ⋮ Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance ⋮ Sample path large and moderate deviations for risk model with delayed claims ⋮ Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables ⋮ Large deviations for the time-integrated negative parts of some processes

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• Large deviations and overflow probabilities for the general single-server queue, with applications
• Lundberg parameters for non standard risk processes
• Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces

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