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Large deviations for generalized compound Poisson risk models and its bankruptcy moments
2004
Science in China Series A
We extend the classical compound Poisson risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function. For this more realistic risk model, Lundberg type limiting results on the finite time ruin probabilities are derived. Asymptotic behaviour of the tail probabilities of the claim surplus process is also investigated.
doi:10.1360/02ys0355
fatcat:vwly3ho7tnbqjfirncb5tulpqe