Acta mathematica scientia,Series A ›› 2011, Vol. 31 ›› Issue (3): 737-751.

• Articles • Previous Articles     Next Articles

The Precise Large Deviations for a Risk Model Based on the Policy Entrance Process

 TANG Feng-Qin1, LI Ze-Hui2, CHEN Jin-Yuan2   

  1. 1.School of Mathematics Sciences, Huaibei |Normal University, Anhui Huaibei 235000|2.School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000
  • Received:2009-03-01 Revised:2010-05-09 Online:2011-06-25 Published:2011-06-25
  • Supported by:

    国家自然科学基金(10871086)和高等学校博士学科点专项科研基金(20050730002)资助

Abstract:

Li and Kong[1] constructed a new risk model based on the policy entrance process which involves multiple kinds of independent policies, and studied the asymptotic behavior of the surplus when time goes to infinity. In this paper the authors investigate large derivations for this model. The authors obtain the precise large deviations with both single and multiple kinds of independent
policies when the tail of the claim size is consistently varying. The  results extend the related large deviation results for shot noise processes.

Key words: Large deviations, Risk process, Consistently varying, Shot noise process, Heavy-tailed distribution

CLC Number: 

  • 60F10
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