Finite-time ruin probability of aggregate Gaussian processes
Détails
Etat: Public
Version: de l'auteur⸱e
Licence: Non spécifiée
ID Serval
serval:BIB_6008D94CEB95
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Finite-time ruin probability of aggregate Gaussian processes
Périodique
Markov Processes and Related Fields
ISSN
1024-2953
Statut éditorial
Publié
Date de publication
2014
Peer-reviewed
Oui
Volume
20
Numéro
3
Pages
435-450
Langue
anglais
Résumé
Let (Sigma(n)(i)=1 lambda X-i(i)(t) - g(t), t is an element of [0, T]} be an aggregate Gaussian risk process with a trend g(t). We derive exact asymptotics of the finite-time ruin probability given by
P((sup)(t is an element of[0,T]) (Sigma(i=1) lambda X-i(i)(t) - g(t)) > u)
as u -> infinity for {X-i(t), t is an element of [0,T]}, i <= n, satisfying some asymptotic conditions. Further, we derive asymptotic results for the finite-time ruin probabilities of risk processes perturbed by an aggregate Gaussian process.
P((sup)(t is an element of[0,T]) (Sigma(i=1) lambda X-i(i)(t) - g(t)) > u)
as u -> infinity for {X-i(t), t is an element of [0,T]}, i <= n, satisfying some asymptotic conditions. Further, we derive asymptotic results for the finite-time ruin probabilities of risk processes perturbed by an aggregate Gaussian process.
Mots-clé
ruin probability, Gaussian process, perturbed risk process, Levy process, (sub- and bi-)fractional Brownian motion, risk aggregation, subexponential risks
Web of science
Création de la notice
20/04/2014 22:41
Dernière modification de la notice
20/08/2019 15:17
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