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Sample path large and moderate deviations for risk model with delayed claims

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  • Gao, Fuqing
  • Yan, Jun

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.

Suggested Citation

  • Gao, Fuqing & Yan, Jun, 2009. "Sample path large and moderate deviations for risk model with delayed claims," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 74-80, August.
    • Handle: RePEc:eee:insuma:v:45:y:2009:i:1:p:74-80
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    References listed on IDEAS

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    1. Asmussen, Søren & Klüppelberg, Claudia, 1996. "Large deviations results for subexponential tails, with applications to insurance risk," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 103-125, November.
    2. Baldi, Paolo & Piccioni, Mauro, 1999. "A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 107-115, January.
    3. Hacène Djellout & Arnaud Guillin & Liming Wu, 1999. "Large and Moderate Deviations for Estimators of Quadratic Variational Processes of Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 2(3), pages 195-225, October.
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