Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance

DOI10.1239/JAP/1222441830MaRDI QIDQ3535638zbMATH OpenOpenAlexFDO

Authors Jun Yan, Fuqing Gao

Publication date 13 November 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1222441830

zbMATH Keywords

large deviationsmoderate deviationsMarkov-modulated risk modelLundberg's estimate

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27)

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• A large deviation estimate for ruin probabilities
• A large deviation result for aggregate claims with dependent claim occurrences
• A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Large deviations for risk processes with reinsurance
• Large deviations results for subexponential tails, with applications to insurance risk
• Moderate deviations of dependent random variables related to CLT
• Some Applications and Methods of Large Deviations in Finance and Insurance

Cited in

(5)

• Sample path large and moderate deviations for risk model with delayed claims
• Precise deviations for Cox processes with a shot noise intensity
• Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables
• Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
• Large deviations for risk processes with reinsurance

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