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Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
Communications in Statistics - Theory and Methods
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.
Sparre Andersen risk model, chi-process, Gaussian process, perturbed risk process, finite-time ruin probability, subexponential distribution, Primary 91B30, 60G15, Secondary 60G70
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