Modeling of an insurance system and its large deviations analysis
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摘要
We model an insurance system consisting of one insurance company and one reinsurance company as a stochastic process in R2. The claim sizes {Xi} are an iid sequence with light tails. The interarrival times {τi} between claims are also iid and exponentially distributed. There is a fixed premium rate c1 that the customers pay; c
论文关键词：Insurance systems,Modeling,Ruin probability,Bankruptcy,Large deviations analysis
论文评审过程：Received 8 August 2008, Revised 16 April 2010, Available online 22 June 2010.
论文官网地址：https://doi.org/10.1016/j.cam.2010.06.003
