Sample path large and moderate deviations for risk model with delayed claims |
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| Authors: | Fuqing Gao Jun Yan |
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| Institution: | aSchool of Mathematics and Statistics, Wuhan University, Wuhan 430072, PR China |
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| 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. |
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| Keywords: | Large deviations Moderate deviations Risk model with delayed claims |
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