It is possible to consider a sequence of wave governed random motions such that their paths converge to the path of a suitable ruin process with exponentially distributed claim sizes (see the proof of Theorem I in [Mazza, C., Rulliere, D., 2004. A link between wave governed random motions and ruin processes. Insurance Math. Econom. 35, 205-222]). In this paper we verify that some large deviation rates for these wave governed random motions converge to the analogous rates for the same ruin process.
Macci, C. (2009). Convergence of large deviation rates based on a link between wave governed random motions and ruin processes. STATISTICS & PROBABILITY LETTERS, 79(2), 255-263 [10.1016/j.spl.2008.08.003].
Convergence of large deviation rates based on a link between wave governed random motions and ruin processes
MACCI, CLAUDIO
2009-01-01
Abstract
It is possible to consider a sequence of wave governed random motions such that their paths converge to the path of a suitable ruin process with exponentially distributed claim sizes (see the proof of Theorem I in [Mazza, C., Rulliere, D., 2004. A link between wave governed random motions and ruin processes. Insurance Math. Econom. 35, 205-222]). In this paper we verify that some large deviation rates for these wave governed random motions converge to the analogous rates for the same ruin process.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
