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个人信息Personal Information
副教授
硕士生导师
性别：女
毕业院校：浙江大学
学位：博士
所在单位：数学科学学院
学科：概率论与数理统计. 金融数学与保险精算
办公地点：数学楼607
联系方式：xshen@dlut.edu.cn
电子邮箱：xshen@dlut.edu.cn
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当前位置: xinmeishen >> 科学研究 >> 论文成果Moderate deviations for a risk model based on the customer-arrival process
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论文类型：期刊论文
发表时间：2012-01-01
发表刊物：STATISTICS & PROBABILITY LETTERS
收录刊物：Scopus、SCIE
卷号：82
期号：1
页面范围：116-122
ISSN号：0167-7152
关键字：Moderate deviation; Regular variation; Shot noise process
摘要：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.