Precise Large Deviation of Claim Surplus Process in a Risk Model with END Claim Sizes

Ying Hua Dong

doi:10.4028/www.scientific.net/AMM.687-691.4482

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 687-691Precise Large Deviation of Claim Surplus Process...

Precise Large Deviation of Claim Surplus Process in a Risk Model with END Claim Sizes

Abstract:

In this paper, we study a risk model in which the claim sizes are extended negatively dependent random variables with consistently varying tails, and the arrival of the successive insurance policies forms a nonstandard renewal processes. For this risk model, we give the precise large deviation of the claim surplus process.

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Periodical:

Applied Mechanics and Materials (Volumes 687-691)

Pages:

4482-4484

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.687-691.4482

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Online since:

November 2014

Authors:

Ying Hua Dong

Keywords:

Claim Surplus Process, Consistent Varying Tails, Extended Negative Dependence, Precise Large Deviation, Renewal Risk Model

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References

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