Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process
DOI10.1186/S13660-016-1080-6zbMATH Open1338.60088OpenAlexW2406567777WikidataQ59467567 ScholiaQ59467567MaRDI QIDQ289963FDOQ289963
Authors: Shihang Yu 
Publication date: 1 June 2016
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13660-016-1080-6
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Linear regression; mixed models (62J05) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Cites Work
- Integer-Valued GARCH Process
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- Precise large deviations for dependent random variables with heavy tails
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- Precise large deviations for sums of random variables with consistently varying tails
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
- Discrete-time risk models on time series for count random variables
- Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
Cited In (3)
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