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Indexed by:期刊论文

Date of Publication:2012-01-01

Journal:STATISTICS & PROBABILITY LETTERS

Included Journals:Scopus、SCIE

Volume:82

Issue:1

Page Number:116-122

ISSN No.:0167-7152

Key Words:Moderate deviation; Regular variation; Shot noise process

Abstract: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. (C) 2011 Elsevier B.V. All rights reserved.