Precise Large Deviations for the Actual Aggregate Loss Process

DOI10.1080/07362990903136512MaRDI QIDQ3182405zbMATH OpenOpenAlexFDO

Authors Zhengyan Lin, Yi Zhang, Xinmei Shen

Publication date 8 October 2009

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990903136512

zbMATH Keywords

consistent variationgeneralized shot noise processprecise large deviation

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites work

• A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails
• Explosive Poisson shot noise processes with applications to risk reserves
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Large deviations of heavy-tailed sums with applications in insurance
• Limiting properties of Poisson shot noise processes
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Precise large deviations for sums of random variables with consistently varying tails
• Precise Large Deviations for Sums of Random Variables with Consistently Varying Tails in Multi-Risk Models
• Precise large deviations for the prospective-loss process
• Regular variation in the mean and stable limits for Poisson shot noise
• Study of a risk model based on the entrance process
• Subexponentiality of the product of independent random variables

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(11)

• Precise large deviations for a customer-based individual risk model
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• Stochastic projection for large individual losses
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• Exponential martingale and large deviations for a Cox risk process with Poisson shot noise intensity
• Precise large deviations for the prospective-loss process
• Precise deviations for Cox processes with a shot noise intensity
• Precise large deviations for aggregate loss process in a multi-risk model
• Moderate deviations for a risk model based on the customer-arrival process
• Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model

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