Abstract
In this paper, we introduce a risk model based on the policy entrance process with $n$ kinds of independent policies. Aiming at the model in which each kind of policy is issued according to a non-homogeneous Poisson process with heavy-tailed distributed claim sizes, we study the large deviations for aggregate loss process of the risk model.
Citation
Fengqin Tang. Zehui Li. Jinyuan Chen. "Precise large deviations of aggregate loss process in a risk model based on the policy entrance process." Rocky Mountain J. Math. 45 (6) 2023 - 2042, 2015. https://doi.org/10.1216/RMJ-2015-45-6-2023
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