Title of article
Sample path large and moderate deviations for risk model with delayed claims
Author/Authors
Gao، نويسنده , , Fuqing and Yan، نويسنده , , Jun، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
7
From page
74
To page
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
Risk model with delayed claims , Large deviations , Moderate deviations
Journal title
Insurance Mathematics and Economics
Serial Year
2009
Journal title
Insurance Mathematics and Economics
Record number
1543800
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