Chinese Quarterly Journal of Mathematics ›› 2010, Vol. 25 ›› Issue (3): 399-406.

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Large Deviations for a Generalized Compound Renewal Risk Model 

  

  1. School of Mathematics and Computational Science, Fuyang Normal College
  • Received:2006-11-20 Online:2010-09-30 Published:2023-05-25
  • About author:GAO Shan(1975- ), female, native of Wenshang, Shandong, Ph.D., engages in stochastic process and queue theory
  • Supported by:
    Supported by Anhui Provincial Colleges and Universities Teaching and Research Projects(2008jyxm556);

Abstract: This paper extends the ordinary renewal risk model to the case where the premium income process, based on a renewal counting process, is no longer a linear function; and the total claim amount process is described by a compound renewal process. For this realistic risk model, the large deviations for the claim surplus process is investigated.

Key words: heavy-tailed distribution, renewal counting process, large deviation

CLC Number: