Moderate deviations for a risk model based on the customer-arrival process

DOI10.1016/J.SPL.2011.08.024zbMATH Open1229.91166OpenAlexW2029509677MaRDI QIDQ654486FDOQ654486

Xinmei Shen, Yi Zhang

Publication date: 28 December 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.08.024

zbMATH Keywords

moderate deviationregular variationshot noise process

Mathematics Subject Classification ID

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

Cites Work

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• Explosive Poisson shot noise processes with applications to risk reserves
• Large deviations of heavy-tailed sums with applications in insurance
• Precise Large Deviations for the Actual Aggregate Loss Process
• Precise large deviations for sums of random variables with consistently varying tails
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• Moderate deviations for random sums of heavy-tailed random variables
• Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions

Cited In (5)

• Web renewal counting processes and their applications in insurance
• Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
• Moderate deviations for a Hawkes-type risk model with arbitrary dependence between claim sizes and waiting times
• Several properties of a nonstandard renewal counting process and their applications
• Moderate deviations for sums of dependent claims in a size-dependent renewal risk model

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