Release Time:2019-03-09  Hits:

Indexed by: Journal Article

Date of Publication: 2012-01-01

Journal: STATISTICS & PROBABILITY LETTERS

Included Journals: SCIE、Scopus

Volume: 82

Issue: 1

Page Number: 116-122

ISSN: 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.