| Grant number: | 12/07845-3 |
| Support Opportunities: | Research Grants - Visiting Researcher Grant - International |
| Duration: | September 24, 2012 - December 23, 2012 |
| Field of knowledge: | Physical Sciences and Mathematics - Probability and Statistics - Probability |
| Principal Investigator: | Anatoli Iambartsev |
| Grantee: | Anatoli Iambartsev |
| Visiting researcher: | Anatoly Mogulskiy |
| Visiting researcher institution: | Siberian Branch of the Russian Academy of Sciences (SB RAS), Russia |
| Host Institution: | Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil |
Abstract
The goal of project is a generalization of classical problems of insurance risks (started by Cramer). The generalization is that the income of company is random, for example, it is a compound Poisson process. If a mean increasing of the outcome process is less than a mean increasing of the income then intersections of the processes are rare events. Therefore it is a problem of the large deviation theory. Based on the new general result by A. Mogulskiy the mentioned problem will be studied in more general cases. For example, both process are processes with independent increments or renewal processes. (AU)
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