English

Finite-time ruin probability of aggregate Gaussian processes

Probability 2014-04-24 v1

Abstract

Let {i=1nλiXi(t),t[0,T]}\left\{\sum_{i=1}^n \lambda_i X_i(t), t\in [0,T]\right\} be an aggregate Gaussian risk process with Xi,inX_i, i\leq n independent Gaussian processes satisfying Piterbarg conditions and λi\lambda_i's given positive weights. In this paper we derive exact asymptotics of the finite-time ruin probability given by P(supt[0,T](i=1nλiXi(t)g(t))>u)\mathbb{P}\left(\sup_{t\in[0,T]}\left(\sum_{i=1}^n \lambda_i X_i(t)- g(t) \right)>u\right) as uu\to\infty for some general trend function gg. Further, we derive asymptotic results for the finite-time ruin probabilities of risk processes perturbed by an aggregate Gaussian process.

Cite

@article{arxiv.1404.5730,
  title  = {Finite-time ruin probability of aggregate Gaussian processes},
  author = {Krzysztof Debicki and Enkelejd Hashorva and Lanpeng Ji and Zhongquan Tan},
  journal= {arXiv preprint arXiv:1404.5730},
  year   = {2014}
}

Comments

11 pages

R2 v1 2026-06-22T03:56:40.324Z