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Precise large deviations for the prospective-loss process
Part of
Kai W. Ng, Qihe Tang, Jiaan Yan, Hailiang Yang
Journal:

Journal of Applied Probability / Volume 40 / Issue 2 / June 2003

Published online by Cambridge University Press:

14 July 2016, pp. 391-400

Print publication:

June 2003
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In 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.

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Precise large deviations for the prospective-loss process