Article ID Journal Published Year Pages File Type
5077401 Insurance: Mathematics and Economics 2009 7 Pages PDF
Abstract
Sample path large and moderate deviation principles for Markov modulated risk models with delayed claims are proved by the exponential martingale method. As applications, asymptotic estimates and exponential bounds of the ruin probability are also studied.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Sample path large and moderate deviations for risk model with delayed claims
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