Precise large deviations for the prospective-loss process

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	Precise large deviations for the prospective-loss process
	Ng, KW ; Tang, QH ; Yan, JA; Yang, HL
	2003-06-01
发表期刊	JOURNAL OF APPLIED PROBABILITY
ISSN	0021-9002
卷号	40 期号:2 页码:391-400
摘要	In 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.
关键词	insurance risk model point process precise large deviation subexponentiality
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000183496000008
出版者	APPLIED PROBABILITY TRUST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/19056
专题	应用数学研究所
通讯作者	Ng, KW
作者单位	1.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
推荐引用方式 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.