Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims
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 of creation:||Apr 2013|
|Date of revision:||Oct 2014|
|Publication status:||Published in Insurance: Mathematics and Economics 2013, Volume 53, Issue 3, 544-550|
|Contact details of provider:|| Web page: http://arxiv.org/|
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