Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
AbstractIn 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1304.1940.
Date of creation: Apr 2013
Date of revision: Aug 2013
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Web page: http://arxiv.org/
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- Behzad Mehrdad & Lingjiong Zhu, 2014. "On the Hawkes Process with Different Exciting Functions," Papers 1403.0994, arXiv.org.
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