Lu, Zhaoyang; Xu, Wei; Zhang, Yan; Sun, Yingling - In: Statistics & Probability Letters 79 (2009) 3, pp. 381-389
In this paper we consider the Cox correlated risk model perturbed by a diffusion (Wiener) process. We first derive an analog of the Bernstein-Kolmogorov inequality for the probabilities of large deviations of Cox random sums. Then an exponential upper-bound which deals with the estimate of ruin...