Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

Lingjiong Zhu

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 544-550

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: Risk processes; Ruin probabilities; Subexponential distributions; Non-stationary processes; Hawkes processes; Shot noise processes; Self-correcting point processes (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:544-550

DOI: 10.1016/j.insmatheco.2013.08.008

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