Asymptotics for the random time ruin probability with non stationary arrivals and Brownian perturbation

Yang Liu, Zhenlong Chen and Ke-Ang Fu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 9, 3337-3349

Abstract: In this paper, we consider a risk model with heavy-tailed claims and Brownian perturbation. Assuming that the distribution function of claim-size is subexponential, and the arrival process of claims is a non stationary process satisfying the principle of large deviation, the asymptotic formula for the ruin probability of this risk model at random time is obtained.

Date: 2024
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DOI: 10.1080/03610926.2022.2153227

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