Large deviations for the stochastic present value of aggregate claims in the renewal risk model

DOI10.1016/j.spl.2015.02.020zbMath1330.60049OpenAlexW1987249524MaRDI QIDQ893915

Ruixing Ming, Tao Jiang, Sheng Cui

Publication date: 23 November 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.020

zbMATH Keywords

regular variationlarge deviationsrenewal risk modelgeometric Lévy processaggregate claimsstochastic present value

Mathematics Subject Classification ID

Related Items (3)

Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims ⋮ Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times ⋮ Asymptotic bounds for precise large deviations in a compound risk model under dependence structures

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