TITLE:
Applications of Mogulskii, and Kurtz-Feng Large Deviation Results to Risk Reserve Processes with Aggregate Claims
AUTHORS:
Jorge Garcia, Ana Meda
KEYWORDS:
Large Deviations; Cramer-Lundberg Reserve Risk Processes; Probability Theory and Mathematical, Statistics in Insurance; Stochastic Models for Claim Frequency; Claim Size and Aggregate Claims;Reserves
JOURNAL NAME:
Applied Mathematics,
Vol.3 No.12A,
December
31,
2012
ABSTRACT: In this paper we examine the large deviations principle (LDP) for sequences of classic Cramér-Lundberg risk processes under suitable time and scale modifications, and also for a wide class of claim distributions including (the non-super- exponential) exponential claims. We prove two large deviations principles: first, we obtain the LDP for risk processes on D∈[0,1] with the Skorohod topology. In this case, we provide an explicit form for the rate function, in which the safety loading condition appears naturally. The second theorem allows us to obtain the LDP for Aggregate Claims processes on D∈[0,∞) with a different time-scale modification. As an application of the first result we estimate the ruin probability, and for the second result we work explicit calculations for the case of exponential claims.