Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model
Release Time:2019-03-09 Hits:
Indexed by: Journal Article
Date of Publication: 2011-12-01
Journal: STATISTICS & PROBABILITY LETTERS
Included Journals: SCIE、Scopus
Volume: 81
Issue: 12
Page Number: 1911-1919
ISSN: 0167-7152
Key Words: Large deviation; Subexponential class; Multi-risk model; Renewal counting process
Abstract: 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. (C) 2011 Elsevier B.V. All rights reserved.