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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

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  • Zhu, Lingjiong

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.

Suggested Citation

  • Zhu, Lingjiong, 2013. "Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 544-550.
    • Handle: RePEc:eee:insuma:v:53:y:2013:i:3:p:544-550
    DOI: 10.1016/j.insmatheco.2013.08.008
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    References listed on IDEAS

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