Moderate deviations for a risk model based on the customer-arrival process |
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| Authors: | Xinmei ShenYi Zhang |
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| Institution: | a School of Mathematical Sciences, Dalian University of Technology, Dalian, 116024, Chinab Department of Mathematics, Zhejiang University, Hangzhou, 310027, China |
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| Abstract: | 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. |
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| Keywords: | 60F10 60G55 91B30 |
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