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Precise large deviations for the prospective-loss process
Ng, KW; Tang, QH; Yan, JA; Yang, HL
2003-06-01
Source PublicationJOURNAL OF APPLIED PROBABILITY
ISSN0021-9002
Volume40Issue:2Pages:391-400
AbstractIn this paper, we propose a customer-arrival-based insurance risk model, in which customers' potential claims are described as independent and identically distributed heavy-tailed random variables and premiums are the same for each policy. We obtain some precise large deviation results for the prospective-loss process under a mild assumption on the random index (in our case, the customer-arrival process), which is much weaker than that in the literature.
Keywordinsurance risk model point process precise large deviation subexponentiality
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000183496000008
PublisherAPPLIED PROBABILITY TRUST
Citation statistics
Cited Times:30[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/19056
Collection中国科学院数学与系统科学研究院
Affiliation1.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
2.Univ Amsterdam, Dept Quantitat Econ, NL-1018 WB Amsterdam, Netherlands
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Ng, KW,Tang, QH,Yan, JA,et al. Precise large deviations for the prospective-loss process[J]. JOURNAL OF APPLIED PROBABILITY,2003,40(2):391-400.
APA Ng, KW,Tang, QH,Yan, JA,&Yang, HL.(2003).Precise large deviations for the prospective-loss process.JOURNAL OF APPLIED PROBABILITY,40(2),391-400.
MLA Ng, KW,et al."Precise large deviations for the prospective-loss process".JOURNAL OF APPLIED PROBABILITY 40.2(2003):391-400.
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