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Article: Precise large deviations for the prospective-loss process

TitlePrecise large deviations for the prospective-loss process
Authors
Ng, KWTang, QYan, JYang, H
KeywordsInsurance risk model
Point process
Precise large deviation
Subexponentiality
Issue Date2003
PublisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Journal Of Applied Probability, 2003, v. 40 n. 2, p. 391-400 How to Cite?
DOI: http://dx.doi.org/10.1239/jap/1053003551
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/82898
ISSN
0021-9002
2021 Impact Factor: 1.116
2020 SCImago Journal Rankings: 0.668
ISI Accession Number ID
WOS:000183496000008
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorNg, KWen_HK
dc.contributor.authorTang, Qen_HK
dc.contributor.authorYan, Jen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:34:39Z-
dc.date.available2010-09-06T08:34:39Z-
dc.date.issued2003en_HK
dc.identifier.citationJournal Of Applied Probability, 2003, v. 40 n. 2, p. 391-400en_HK
dc.identifier.issn0021-9002en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82898-
dc.description.abstractIn 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.en_HK
dc.languageengen_HK
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_HK
dc.relation.ispartofJournal of Applied Probabilityen_HK
dc.subjectInsurance risk modelen_HK
dc.subjectPoint processen_HK
dc.subjectPrecise large deviationen_HK
dc.subjectSubexponentialityen_HK
dc.titlePrecise large deviations for the prospective-loss processen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=40&issue=2&spage=391&epage=400&date=2003&atitle=Precise+large+deviations+for+the+prospective-loss+processen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1239/jap/1053003551en_HK
dc.identifier.scopuseid_2-s2.0-0041912634en_HK
dc.identifier.hkuros78452en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0041912634&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume40en_HK
dc.identifier.issue2en_HK
dc.identifier.spage391en_HK
dc.identifier.epage400en_HK
dc.identifier.isiWOS:000183496000008-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.scopusauthoridTang, Q=7201632128en_HK
dc.identifier.scopusauthoridYan, J=7403729432en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl0021-9002-

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