Precise Large Deviation of Claim Surplus Process in a Renewal Risk Model with Random Premium Income

Ying Hua Dong

doi:10.4028/www.scientific.net/AMR.850-851.771

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 850-851Precise Large Deviation of Claim Surplus Process...

Precise Large Deviation of Claim Surplus Process in a Renewal Risk Model with Random Premium Income

Abstract:

In this paper, we consider a nonstandard renewal risk model in which claim sizes and corresponding inter-arrival times form a sequence of independent and identically distributed random pairs. Each pair satisfies a certain dependence structure. In addition, premium income is described by a compound Poisson process. When the distribution of claim sizes belongs to the consistent variation class, we obtain precise large deviation of claim surplus process.

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Periodical:

Advanced Materials Research (Volumes 850-851)

Pages:

771-775

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.850-851.771

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Online since:

December 2013

Authors:

Ying Hua Dong*

Keywords:

Claim Surplus Process, Precise Large Deviation, Random Premium Income, Renewal Risk Model

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References

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