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Moderate deviations for a risk model based on the customer-arrival process

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  • Shen, Xinmei
  • Zhang, Yi

Abstract

In this paper, we investigate the moderate deviations for a customer-arrival-based insurance risk model, in which customer’s actual claim sizes are described as independent and identically distributed heavy-tailed random variables multiplying a shot function, and the model can be treated as a Poisson shot noise process.

Suggested Citation

  • Shen, Xinmei & Zhang, Yi, 2012. "Moderate deviations for a risk model based on the customer-arrival process," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 116-122.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:1:p:116-122
    DOI: 10.1016/j.spl.2011.08.024
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    References listed on IDEAS

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    1. Stabile, Gabriele & Torrisi, Giovanni Luca, 2010. "Large deviations of Poisson shot noise processes under heavy tail semi-exponential conditions," Statistics & Probability Letters, Elsevier, vol. 80(15-16), pages 1200-1209, August.
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    Cited by:

    1. Li, Rong & Bi, Xiuchun & Zhang, Shuguang, 2020. "Large deviations for sums of claims in a general renewal risk model with the regression dependent structure," Statistics & Probability Letters, Elsevier, vol. 165(C).

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