随机保费下扰动风险模型总索赔盈余的大偏差

Large Deviations of the Surplus of Aggregate Claims for a Perturbed Risk Model with Random Premiums

考虑随机保费下带干扰的风险模型,其中保费额和索赔额各自形成了END的随机变量序列,保费次数是由一个拟更新过程描绘,干扰项是由一个布朗运动过程来刻画.在索赔额分布属于一致变化类的条件下,给出了总索赔盈余过程的精致大偏差.

Consider a perturbed risk renewal model with investment income, in which premium sizes and cliam sizes form two sequences of END random variables, respectively, the premium number is described by a quasi-renewal process, and the investment income is characterized by Brownian motion. Provided that claim-size distribution belongs to the consistent variation class, the precise large deviation for the surplus process of aggregate claims was presented.