Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims

Lingjiong Zhu

Papers from arXiv.org

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.

Date: 2013-04, Revised 2014-10
New Economics Papers: this item is included in nep-rmg
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Insurance: Mathematics and Economics 2013, Volume 53, Issue 3, 544-550

Downloads: (external link)
http://arxiv.org/pdf/1304.1940 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1304.1940

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().