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Precise Large Deviations for the Prospective-Loss Process
Kai W. Ng, Qihe Tang, Jiaan Yan and Hailiang Yang
Journal of Applied Probability
Vol. 40, No. 2 (Jun., 2003), pp. 391-400
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3215798
Page Count: 10
You can always find the topics here!Topics: Random variables, Insurance risk, Distribution functions, Surplus, Finance, Insurance applications, Clines, Health insurance, Insurance companies, Stochastic processes
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In this paper, we propose a customer-arrival-based insurance risk model, in which customers' potential claims are described as independent and identically distributed heavy-tailed random variables and premiums are the same for each policy. We obtain some precise large deviation results for the prospective-loss process under a mild assumption on the random index (in our case, the customer-arrival process), which is much weaker than that in the literature.
Journal of Applied Probability © 2003 Applied Probability Trust