Moderate deviations for a risk model based on the customer-arrival process

DOI10.1016/j.spl.2011.08.024zbMath1229.91166OpenAlexW2029509677MaRDI QIDQ654486

Yi Zhang, Xin Mei Shen

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.08.024

zbMATH Keywords

regular variationmoderate deviationshot noise process

Mathematics Subject Classification ID

Related Items (5)

Web renewal counting processes and their applications in insurance ⋮ Several properties of a nonstandard renewal counting process and their applications ⋮ Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times ⋮ Large deviations for sums of claims in a general renewal risk model with the regression dependent structure ⋮ Moderate deviations for sums of dependent claims in a size-dependent renewal risk model

Cites Work

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• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions
• Large deviations of heavy-tailed sums with applications in insurance
• Explosive Poisson shot noise processes with applications to risk reserves
• Moderate deviations for random sums of heavy-tailed random variables
• Precise Large Deviations for the Actual Aggregate Loss Process
• Precise large deviations for sums of random variables with consistently varying tails
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions

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