Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model

In view of the actual condition of the insurance company, a multi-risk model is proposed. The lower and upper bounds for the sums of subexponential claims in this model are given. The proof method is based on the results of the total claim amount under subexponential class.

MoreLess

Year of publication:	2011
Authors:	Lu, Dawei
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1911-1919
Publisher:	Elsevier
Subject:	Large deviation \| Subexponential class \| Multi-risk model \| Renewal counting process

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010571829