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.
"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