Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
نویسندگان
چکیده
منابع مشابه
Functional Large Deviations and Moderate Deviations for Markov-modulated Risk Models with Reinsurance
We establish a functional large deviation principle and a functional moderate deviation principle for Markov-modulated risk models with reinsurance by constructing an exponential martingale approach. Lundberg’s estimate of the ruin time is also presented.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2008
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s002190020000471x