Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model

Dawei Lu

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1911-1919

Abstract: In view of the actual condition of the insurance company, a multi-risk model is proposed. The lower and upper bounds for the sums of subexponential claims in this model are given. The proof method is based on the results of the total claim amount under subexponential class.

Keywords: Large deviation; Subexponential class; Multi-risk model; Renewal counting process (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2011.08.003

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