Large Deviations for Risk Processes with Reinsurance
نویسنده
چکیده
We consider risk processes with reinsurance. A general family of reinsurance contracts is allowed, including proportional and excess-of-loss policies. Claim occurrence is regulated by a classical compound Poisson process or by aMarkov-modulated compound Poisson process. We provide some large deviation results concerning these two risk processes in the small-claim case. Finally, we derive the so-called Lundberg estimate for the ruin probabilities and present a numerical example.
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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