Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
Risk Management
2014-10-16 v3 Probability
Abstract
In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and non-renewal. We give three examples of non-stationary and non-renewal point processes: Hawkes process, Cox process with shot noise intensity and self-correcting point process. We also show some aggregate claims results for these three examples.
Keywords
Cite
@article{arxiv.1304.1940,
title = {Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims},
author = {Lingjiong Zhu},
journal= {arXiv preprint arXiv:1304.1940},
year = {2014}
}
Comments
15 pages