| Large deviations for generalized compound Poisson risk models and its bankruptcy moments |
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| 引用本文： | HU YijunSchool of Mathematics and Statistics,Wuhan University,Wuhan 430072,China. Large deviations for generalized compound Poisson risk models and its bankruptcy moments[J]. 中国科学A辑(英文版), 2004, 47(2): 311-319. DOI: 10.1360/02ys0355 |
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| 作者姓名： | HU YijunSchool of Mathematics and Statistics Wuhan University Wuhan 430072 China |
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| 作者单位： | HU YijunSchool of Mathematics and Statistics，Wuhan University，Wuhan 430072，China |
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| 基金项目： | 国家自然科学基金，教育部科学技术研究项目 |
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| 摘 要： | We extend the classical compound Poisson risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function. For this more realistic risk model, Lundberg type limiting results on the finite time ruin probabilities are derived. Asymptotic behaviour of the tail probabilities of the claim surplus process is also investigated.
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Large deviations for generalized compound Poisson risk models and its bankruptcy moments |
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| Yijun Hu. Large deviations for generalized compound Poisson risk models and its bankruptcy moments[J]. Science in China(Mathematics), 2004, 47(2): 311-319. DOI: 10.1360/02ys0355 |
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| Authors: | Yijun Hu |
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| Affiliation: | School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China |
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| Abstract: | We extend the classical compound Poisson risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function. For this more realistic risk model, Lundberg type limiting results on the finite time ruin probabilities are derived. Asymptotic behaviour of the tail probabilities of the claim surplus process is also investigated. |
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| Keywords: | ruin probability (generalized) compound Poisson risk model large deviations. |
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