Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process

Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process

Abstract In this paper, we consider a discrete-time risk model with the claim number following a Poisson ARCH process. In this model, the mean of the current claim number depends on the previous observations. We study the large deviations for the aggregate amount for claims. For a heavy-tailed case,...

Full description

Bibliographic Details
Main Author: Shihang Yu
Format: Article
Language:English
Published: SpringerOpen 2016-05-01
Series:Journal of Inequalities and Applications
Subjects:
Poisson ARCH process
precise large deviations
moderate deviation principle
Online Access:http://link.springer.com/article/10.1186/s13660-016-1080-6

Internet

http://link.springer.com/article/10.1186/s13660-016-1080-6

Similar Items