Moderate deviations for a risk model based on the customer-arrival process

Xinmei Shen and Yi Zhang

Statistics & Probability Letters, 2012, vol. 82, issue 1, 116-122

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.

Keywords: Moderate deviation; Regular variation; Shot noise process (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2011.08.024

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