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

In this paper, we investigate the moderate deviations for a customer-arrival-based insurance risk model, in which customer’s actual claim sizes are described as independent and identically distributed heavy-tailed random variables multiplying a shot function, and the model can be treated as a Poisson shot noise process.

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Year of publication:	2012
Authors:	Shen, Xinmei ; Zhang, Yi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 116-122
Publisher:	Elsevier
Subject:	Moderate deviation \| Regular variation \| Shot noise process

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

Persistent link: https://www.econbiz.de/10010582245