serval:BIB_6008D94CEB95
Finite-time ruin probability of aggregate Gaussian processes
000345889000005
K.
Debicki
author
E.
Hashorva
author
L.
Ji
author
Z.
Tan
author
article
2014
Markov Processes and Related Fields
1024-2953
journal
20
3
435-450
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.
ruin probability
Gaussian process
perturbed risk process
Levy process
(sub- and bi-)fractional Brownian motion
risk aggregation
subexponential risks
eng
60_published
peer-reviewed
University of Lausanne
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