Finite-time ruin probability of aggregate Gaussian processes

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serval:BIB_6008D94CEB95
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Finite-time ruin probability of aggregate Gaussian processes
Journal
Markov Processes and Related Fields
Author(s)
Debicki  K., Hashorva  E., Ji  L., Tan  Z.
ISSN
1024-2953
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
20
Number
3
Pages
435-450
Language
english
Abstract
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.
Keywords
ruin probability, Gaussian process, perturbed risk process, Levy process, (sub- and bi-)fractional Brownian motion, risk aggregation, subexponential risks
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Create date
20/04/2014 21:41
Last modification date
20/08/2019 14:17
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