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-superexponential) exponential claims. We prove two large deviations principles: first, we obtain the LDP for risk processes onwith the Skorohod topology. In this case, we provide an explicit form for the rate function, in which the safety loading condition appears naturally. The seco… Show more
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