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

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  • Lingjiong Zhu
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    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.

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    File URL: http://arxiv.org/pdf/1304.1940
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1304.1940.

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    Date of creation: Apr 2013
    Date of revision: Aug 2013
    Handle: RePEc:arx:papers:1304.1940

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    Web page: http://arxiv.org/

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    Cited by:
    1. Behzad Mehrdad & Lingjiong Zhu, 2014. "On the Hawkes Process with Different Exciting Functions," Papers 1403.0994, arXiv.org.

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