Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

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Type
Article: article from journal or magazin.
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Publications
Institution
Title
Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
Journal
Communications in Statistics - Theory and Methods
Author(s)
Hashorva E., Ji L.
ISSN
0361-0926 (Print)
1532-415X (Electronic)
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
43
Number
10-12
Pages
2540-2548
Language
english
Abstract
In this article, we consider the Sparre Andersen risk model that is perturbed by an inflated chi-process with non-negative random inflator R. Under some conditions on the perturbation and the random inflator, which allow for both small and large fluctuations, exact asymptotic behaviour of the finite-time ruin probability is obtained when initial reserve tends to infinity.
Keywords
Sparre Andersen risk model, chi-process, Gaussian process, perturbed risk process, finite-time ruin probability, subexponential distribution, Primary 91B30, 60G15, Secondary 60G70
Web of science
Open Access
Yes
Create date
11/12/2012 5:58
Last modification date
20/08/2019 15:14
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