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Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model

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  • Lu, Dawei

Abstract

In view of the actual condition of the insurance company, a multi-risk model is proposed. The lower and upper bounds for the sums of subexponential claims in this model are given. The proof method is based on the results of the total claim amount under subexponential class.

Suggested Citation

  • Lu, Dawei, 2011. "Lower and upper bounds of large deviation for sums of subexponential claims in a multi-risk model," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1911-1919.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:12:p:1911-1919
    DOI: 10.1016/j.spl.2011.08.003
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    References listed on IDEAS

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    1. Baltrunas, Aleksandras & Leipus, Remigijus & Siaulys, Jonas, 2008. "Precise large deviation results for the total claim amount under subexponential claim sizes," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1206-1214, August.
    2. Baltrunas, A. & Daley, D. J. & Klüppelberg, C., 2004. "Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 237-258, June.
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    Cited by:

    1. Bernackaitė, Emilija & Šiaulys, Jonas, 2015. "The exponential moment tail of inhomogeneous renewal process," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 9-15.

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