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

论文类型:期刊论文

发表时间:2011-12-01

发表刊物:STATISTICS & PROBABILITY LETTERS

收录刊物:Scopus、SCIE

卷号:81

期号:12

页面范围:1911-1919

ISSN号:0167-7152

关键字:Large deviation; Subexponential class; Multi-risk model; Renewal counting process

摘要: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.

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