Applications of Mogulskii, and Kurtz-Feng Large Deviation Results to Risk Reserve Processes with Aggregate Claims

• 作者: Ana Meda Jorge Garcia
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: Large Deviations Cramer-Lundberg Reserve Risk PROCESSES Probability Theory and Mathematical Statistics in INSURANCE Stochastic Models for CLAIM Frequency CLAIM Size and Aggregate CLAIMS RESERVES
• 年，卷（期）: yysxyw_2012,（12）
• 页码范围: 2109-2117
• 页数: 9页
• 分类号: O1

摘要

In this paper we examine the large deviations principle (LDP) for sequences of classic Cramér-Lundberg risk processes under suitable time and scale modifications, and also for a wide class of claim distributions including (the non-super- exponential) exponential claims. We prove two large deviations principles: first, we obtain the LDP for risk processes on D∈[0,1] with the Skorohod topology. In this case, we provide an explicit form for the rate function, in which the safety loading condition appears naturally. The second theorem allows us to obtain the LDP for Aggregate Claims processes on D∈[0,∞) with a different time-scale modification. As an application of the first result we estimate the ruin probability, and for the second result we work explicit calculations for the case of exponential claims.