Moderate deviations for a risk model based on the customer-arrival process

作者：Shen, Xinmei; Zhang, Yi^*

来源：Statistics & Probability Letters, 2012, 82(1): 116-122.

DOI：10.1016/j.spl.2011.08.024

• Moderate deviation
• Regular variation
• Shot noise process

In this paper, we investigate the moderate deviations for a customer-arrival-based insurance risk model, in which customer's actual claim sizes are described as independent and identically distributed heavy-tailed random variables multiplying a shot function, and the model can be treated as a Poisson shot noise process.

• 出版日期2012-1
• 单位大连理工大学; 浙江大学