Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

Enkelejd Hashorva and Lanpeng Ji

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 10-12, 2540-2548

Abstract: In this article, we consider the Sparre Andersen risk model that is perturbed by an inflated chi-process with non-negative random inflator R. Under some conditions on the perturbation and the random inflator, which allow for both small and large fluctuations, exact asymptotic behaviour of the finite-time ruin probability is obtained when initial reserve tends to infinity.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:43:y:2014:i:10-12:p:2540-2548

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DOI: 10.1080/03610926.2012.759974

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