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Sample path large and moderate deviations for risk model with delayed claims

Sample path large and moderate deviation principles for Markov modulated risk models with delayed claims are proved by the exponential martingale method. As applications, asymptotic estimates and exponential bounds of the ruin probability are also studied.
Year of publication:
2009
Authors: Gao, Fuqing ; Yan, Jun
Published in:
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 1, p. 74-80
Publisher: Elsevier
Keywords: Large deviations Moderate deviations Risk model with delayed claims
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10004973642
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