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Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance
Published online by Cambridge University Press: 14 July 2016
Abstract
We establish a functional large deviation principle and a functional moderate deviation principle for Markov-modulated risk models with reinsurance by constructing an exponential martingale approach. Lundberg's estimate of the ruin time is also presented.
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- Copyright © Applied Probability Trust 2008
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