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

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  • Lingjiong Zhu

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

  • Lingjiong Zhu, 2013. "Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims," Papers 1304.1940, arXiv.org, revised Oct 2014.
  • Handle: RePEc:arx:papers:1304.1940
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    File URL: http://arxiv.org/pdf/1304.1940
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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, revised Sep 2017.

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