Sample path large and moderate deviations for risk model with delayed claims

Fuqing Gao and Jun Yan

Insurance: Mathematics and Economics, 2009, vol. 45, issue 1, pages 74-80

Abstract: Sample path large and moderate deviation principles for Markov modulated risk models with delayed claims are proved by the exponential martingale method. As applications, asymptotic estimates and exponential bounds of the ruin probability are also studied.

Keywords: Large; deviations; Moderate; deviations; Risk; model; with; delayed; claims (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:1:p:74-80

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