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- Title
RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS.
- Authors
Fu, Ke-Ang; Liu, Yang
- Abstract
Consider a multidimensional risk model, in which an insurer simultaneously confronts m (m ≥ 2) types of claims sharing a common non-stationary and non-renewal arrival process. Assuming that the claims arrival process satisfies a large deviation principle and the claim-size distributions are heavy-tailed, asymptotic estimates for two common types of ruin probabilities for this multidimensional risk model are obtained. As applications, we give two examples of the non-stationary point process: a Hawkes process and a Cox process with shot noise intensity, and asymptotic ruin probabilities are obtained for these two examples.
- Subjects
LARGE deviations (Mathematics); POINT processes; PROBABILITY theory
- Publication
Probability in the Engineering & Informational Sciences, 2022, Vol 36, Issue 3, p799
- ISSN
0269-9648
- Publication type
Article
- DOI
10.1017/S0269964821000085