Estimates for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with a Brownian Perturbation

Kaiyong Wang, Yongfang Cui and Yanzhu Mao

Mathematical Problems in Engineering, 2020, vol. 2020, 1-5

Abstract:

In this paper, we consider a time-dependent risk model with a Brownian perturbation. In this model, there is a dependence structure between the claim sizes and their corresponding interarrival times. Assuming the claim sizes have subexponential distributions, we obtain the asymptotic lower bound of the finite-time ruin probability. When the claim sizes have distributions from the class , the asymptotic upper bound of the finite-time ruin probability has been presented. These results confirm that when the claim sizes are heavy-tailed, the asymptotics of the finite-time ruin probability of this time-dependent model are insensitive to the Brownian perturbation.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7130243

DOI: 10.1155/2020/7130243

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