Precise Large Deviation of Surplus Processes of Dominatedly-Varying Claims in a Renewal Risk Model
نویسندگان
چکیده
منابع مشابه
Ruin Probabilities for Large Claims in Delayed Renewal Risk Model*
The following stochastic model, which can be used for example to describe an insurance business, has been considered by Grandell (1991) and Embrechts et al. (1997), Rolski et al. (1999) and Asmussen (2000), among others. Costs of claims Zi, ib 1, form a sequence of independent and identically distributed (i.i.d.), positive random variables (r.v.s) with a common distribution function (d.f.) F an...
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In this paper, we consider a size-dependent renewal risk model with stopping time claim-number process. In this model, we do not make any assumption on the dependence structure of claim sizes and inter-arrival times. We study large deviations of the aggregate amount of claims. For the subexponential heavy-tailed case, we obtain a precise large-deviation formula; our method substantially relies ...
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15 صفحه اولA Risk Surplus Model using Hawkes Point Processes
In this thesis we define a Hawkes process with exponential decay that later on is used in an application to insurance. We have also applied a simulation algorithm for the Hawkes process that are able to model cluster arrival of claims. In the classical risk model one uses a homogeneous Poisson process to model the arrival of claims which is not realistic. What is most crucial for an insurance c...
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ژورنال
عنوان ژورنال: DEStech Transactions on Computer Science and Engineering
سال: 2017
ISSN: 2475-8841
DOI: 10.12783/dtcse/mcsse2016/10988