A Large Deviation Principle for the Risk Process with Varying Premium  

作　　者：HE Xiaoxia MING Ruixing HU Yijun 

机构地区：[1]School of Mathematics and Statistics, Wuhan University,Wuhan 430072, Hubei, China [2]School of Mathematics and Information Sciences, JiangxiNormal University, Nanchang 330022, Jiangxi, China

出　　处：《Wuhan University Journal of Natural Sciences》2007年第3期412-416,共5页武汉大学学报（自然科学英文版）

基　　金：Supported by the National Natural Science Foundation of China (70273029)

摘　　要：Let u ∈ R ,for any ω 〉 0, the processes X^ε = {X^ε（t）; 0 ≤ t≤ 1} are governed by the following random evolution equations dX^ε（t）= b（X^ε（t）,v（t））dt-εdSt/ε, where S={St; 0≤t≤1} is a compound Poisson process, the process v={v（t）; 0≤t≤1} is independent of S and takes values in R^m. We derive the large deviation principle for{（X^ε,v（.））; ε〉0} when ε↓0 by approximation method and contraction principle, which will be meaningful for us to find out the path property for the risk process of this type.Let u ∈ R ,for any ω 〉 0, the processes X^ε = {X^ε（t）; 0 ≤ t≤ 1} are governed by the following random evolution equations dX^ε（t）= b（X^ε（t）,v（t））dt-εdSt/ε, where S={St; 0≤t≤1} is a compound Poisson process, the process v={v（t）; 0≤t≤1} is independent of S and takes values in R^m. We derive the large deviation principle for{（X^ε,v（.））; ε〉0} when ε↓0 by approximation method and contraction principle, which will be meaningful for us to find out the path property for the risk process of this type.

关 键 词：large deviations varying premium compound Pois-son process 

分 类 号：O211.9[理学—概率论与数理统计] F832.5[理学—数学]